| 带交易费用的证券组合投资选择的优化模型 |
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| 引用本文： | 李莉英,金朝嵩.带交易费用的证券组合投资选择的优化模型[J].经济数学,2002,19(3):32-37. |
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| 作者姓名： | 李莉英 金朝嵩 |
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| 作者单位： | 重庆大学数理学院,重庆,400045 |
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| 摘 要： | 本文利用在约束条件中加入证券多样化选择约束的办法来抵减非系统风险 ,就证券组合投资的选择问题 ,建立了带交易费用的综合考虑收益和风险的多目标规划模型 ,然后通过变换将不可微的多目标规划问题转化为一个多目标线性规划问题 ,最后给出了问题的一个算法和算例
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| 关 键 词： | 证券组合投资选择 交易费用 线性规划 多目标规划 |
| 修稿时间： | 2002年3月5日 |
AN OPTIMAI MODEL FOR PORTFOLIO INVESTMENT SELECTION WITH TRANSACTION COSTS |
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| Li Liying,Jin Chaosong.AN OPTIMAI MODEL FOR PORTFOLIO INVESTMENT SELECTION WITH TRANSACTION COSTS[J].Mathematics in Economics,2002,19(3):32-37. |
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| Authors: | Li Liying Jin Chaosong |
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| Abstract: | A multi objective optimal model for portfolio investment selection with transaction costs is built in view of gains and risk in this paper.In the model,the diversified problem can be solved by selecting and investing many diverse securities.With a transformation,the no differentiable and multi objective programming problem is equivalently transformed to a multi objective and linear programming problem.At last,an algorithm and an example are given for the programming problem. |
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| Keywords: | Portfolio investment selection transaction costs linear programming multi objective programming |
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