| 证券投资组合一种多目标优化模型及其算法 |
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| 引用本文： | 万丽英,李兴斯,张新芬.证券投资组合一种多目标优化模型及其算法[J].数学的实践与认识,2010,40(24). |
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| 作者姓名： | 万丽英 李兴斯 张新芬 |
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| 作者单位： | 大连外国语学院软件学院;大连理工大学工业装备结构分析国家重点实验室;山东轻工业学院数理学院; |
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| 摘 要： | 针对Young(1998)提出的证券投资组合极小极大(Minimax)模型,给出了一种有效算法;并在此基础上建立了一个多目标优化模型以及求解该问题的一个中心算法.最后通过算例分析,对两种模型及其算法进行了比较.
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| 关 键 词： | 投资组合 均值-方差模型 极小极大模型 凝聚函数 多目标优化 中心算法 |
A Multi-objects Optimization Model and Its Algorithm for Securities' Portfolio Selection |
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| WAN Li-ying,LI Xing-si,ZHANG Xin-fen.A Multi-objects Optimization Model and Its Algorithm for Securities' Portfolio Selection[J].Mathematics in Practice and Theory,2010,40(24). |
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| Authors: | WAN Li-ying LI Xing-si ZHANG Xin-fen |
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| Institution: | WAN Li-ying~1,LI Xing-si~2,ZHANG Xin-fen~3 (1.Software School,Dalian University of Foreign Languages,Dalian 116044,China) (2.State Key Laboratory of Structural Analysis for Industrial Equipment,Dalian University of Technology,Dalian 116023,China) (3.School of Mathematics and Physics,Shandong Institute of Light Industry,Jinan 250353,China) |
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| Abstract: | Aiming at the minimax model Young given in 1998,an efficient algorithm is proposed.Based on this,a multi-objective optimization model is formulated and a method of centers for solving the problem is proposed.Through experiments and analysis,comparisons of these two models and their corresponding algorithms are given. |
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| Keywords: | portfolio mean-variance model minimax model aggregate function multiobjective optimization methods of centers |
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