| 投资组合模型的分式规划解法 |
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| 引用本文： | 陈国华,廖小莲.投资组合模型的分式规划解法[J].数学理论与应用,2008,28(1):93-96. |
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| 作者姓名： | 陈国华 廖小莲 |
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| 作者单位： | 湖南人文科技学院数学系 娄底(陈国华)，湖南人文科技学院数学系 417000(2廖小莲) |
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| 基金项目： | 湖南省教育厅资助科研项目（07C389） |
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| 摘 要： | 以E-SV风险测度为基础提出了组合证券投资决策的效用函数,并建立了基于分式规划的投资组合选择模型,利用变换,把求解分式规划的问题转化为求解非分式规划问题。
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| 关 键 词： | 分式规划 二次规划 投资组合 风险效用 |
A Fractional Programming Approach to Portfolio Selection model |
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| Guohua Chen, Xiaolian Liao.A Fractional Programming Approach to Portfolio Selection model[J].Mathematical Theory and Applications,2008,28(1):93-96. |
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| Authors: | Guohua Chen Xiaolian Liao |
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| Institution: | Guohua Chen1,2 Xiaolian Liao1 |
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| Abstract: | A portfolio selection utility function based on E-SV risk s measure is advanced,and then the portfolio selection model based on the fractional programm ing is built.The fractional programming is transformed into non fractional progr amming. |
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| Keywords: | fractional programming quadratic programming portfolio selecti on risk utility |
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