| 带最小交易单位的Markowitz模型及算法 |
| |
| 引用本文： | 陈许红,王玲.带最小交易单位的Markowitz模型及算法[J].数学的实践与认识,2011,41(10). |
| |
| 作者姓名： | 陈许红 王玲 |
| |
| 作者单位： | 1. 嘉兴职业技术学院社科部,浙江嘉兴,314001
2. 上海电机学院数理教学部,上海,200240 |
| |
| 摘 要： | 在证券交易市场中,交易规则要求购买的股票数量为整数.基于这种情况,将Markowitz模型中资产的投资比例改进为资产的投资数量,构造了一个二次整数规划模型.设计了求解该模型的算法,经过实证分析,算法是有效的.
|
| 关 键 词： | Markowitz均值—方差模型 二次整数规划 Lemke算法 分支定界方法 |
Markowitz Model and Algorithm with The Minimum Unit of Trading |
| |
| CHEN Xu-hong,WANG Ling.Markowitz Model and Algorithm with The Minimum Unit of Trading[J].Mathematics in Practice and Theory,2011,41(10). |
| |
| Authors: | CHEN Xu-hong WANG Ling |
| |
| Institution: | CHEN Xu-hong~1,WANG Ling~2 (1.Department of Social Science,Jiaxing Vocational and Technical College,Jiaxing 314001,China) (2.Department of Mathematics and Physics,Shanghai Dianji University,Shanghai 200240,China) |
| |
| Abstract: | In securities exchange market,trading rules require that the number of shares purchased should be an integer.On this basis,a quadratic integer programming model is constructed by changing proportion of investment assets in Markowitz model into number of investment assets and an algorithm is designed to solve this model.Empirical analysis shows that the algorithm is effective. |
| |
| Keywords: | Markowitz mean-variance model quadratic integer programming Lemke algorithm branch and bound method |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
