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| 非负约束条件下组合证券投资决策的分枝定界法 | |
| 引用本文： | 张京. 非负约束条件下组合证券投资决策的分枝定界法[J]. 数学的实践与认识, 2004, 34(5): 18-23 |
| 作者姓名： | 张京 |
| 作者单位： | 东北大学理学院数学系,辽宁,沈阳,110004 |
| 摘 要： | 研究非负约束条件下 ,实现预期收益率的组合证券投资决策问题 ,将整数线性规划的分枝定界法用于该问题的求解 ,并应用于一个四元证券投资决策问题 |
| 关 键 词： | 组合证券投资 风险 预期收益率 整数线性规划 分枝定界法 |
| 修稿时间： | 2001-08-14 |
Branch-bound Method for Portfolio Investment Decision under Nonnegative Constraint |
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| ZHANG Jing. Branch-bound Method for Portfolio Investment Decision under Nonnegative Constraint[J]. Mathematics in Practice and Theory, 2004, 34(5): 18-23 | |
| Authors: | ZHANG Jing |
| Abstract: | The portfolio investment decision with expected return rate is studied under nonnegative constraint. The problem is solved with the branch-bound method of the integer linear programming, and the algorithm is applied to a four variables portfolio investment decision problem. |
| Keywords: | portfolio risk expected return rate integer linear programming branch-bound method |
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