| 离散线性投资组合模型的分枝定界算法 |
| |
| 引用本文： | 易军,孙小玲.离散线性投资组合模型的分枝定界算法[J].运筹学学报,2008,12(4). |
| |
| 作者姓名： | 易军 孙小玲 |
| |
| 作者单位： | 1. 上海大学数学系,上海,200444
2. 复旦大学管理学院,上海,200433 |
| |
| 基金项目： | 国家自然科学基金
|
| |
| 摘 要： | 本文提出了一类新的带整数交易手数和凹型交易费用的均值绝对偏差模型(MAD)和极大极小投资组合模型(Minmax),并给出了离散模型的分枝定界算法.我们分别用随机产生的数据和Nasdaq股票市场的真实数据进行了数值实验,数值分析表明在一定的收益水平下均值绝对偏差离散模型风险控制上优于极大极小投资组合离散模型,而计算效率上极大极小投资组合离散模型优于期望绝对偏差离散模型.
|
| 关 键 词： | 运筹学 整数规划 金融优化 离散线性投资组合模型 交易费用 分枝定界法 |
A Branch and Bound Algorithm for Discrete Linear Portfolio Selection Problems |
| |
| Yi Jun,Sun Xiaoling.A Branch and Bound Algorithm for Discrete Linear Portfolio Selection Problems[J].OR Transactions,2008,12(4). |
| |
| Authors: | Yi Jun Sun Xiaoling |
| |
| Abstract: | In this paper we introduce a class of new discrete mean-absolute devi- ation model and minmax model with concave transaction cost.A branch and bound algorithm is proposed for solving these models.Numerical experiment is carried out for testing problems with data from randomly generated and U.S.Nasdaq stock market.The numerical analysis indicates that for a given level of return,the discrete mean-absolute deviation model outperforms the discrete minmax model in term of risk control while the discrete minmax model is preferable when computing efficiency is concerned. |
| |
| Keywords: | Operations research integer programming finance optimization discrete linear portfolio selection transaction cost branch-and-bound method |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
