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限制投资下界的风险证券有效组合模型及算法研究 总被引:4,自引:0,他引:4
本文研究了具有投资下界限制的风险证券有限组合决策问题,提出了限制投资下界的风险证券有效组合优化模型,在一定的条件下,给出了风险证券有限组合投资比例的算法及解析表示,最后进行了实际数值计算,结果说明了所给算法是有效和实用的。 相似文献
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具指数赋权指标的证券投资多目标线性规划模型 总被引:2,自引:0,他引:2
本文提出证券投资决策的指数赋权指标体系.在该指标体系中,建立风险证券组合投资决策和存在无风险证券或无风险贷款时证券组合投资决策的多目标线性规划模型.研究了有效风险证券组合集和有效证券组合集的结构和相互关系,市场证券组合以及证券均衡市场价格和投资风险分析. 相似文献
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投资比例非负约束的风险证券组合有效集及动态分析 总被引:1,自引:1,他引:0
本文提出了风险证券有效组合的决策模型 ,给出了投资比例非负约束的风险证券有效组合的解析表示 ,研究了证券个数变动对证券组合有效集的影响 .分析了它的漂移方向和漂移范围 ,给出了最小风险有效证券组合和最大收益有效证券组合的漂移距离及风险与收益的增加或减少程度 相似文献
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证券投资组合理论的一种新模型及其应用 总被引:4,自引:0,他引:4
马科维茨(Markowitz)以证券收益率的方差作为投资风险的测度建立了组合证券投资模型,本基于熵的概念,在研究马科维茨(Markowitz)证券投资组合模型的基础上,分析了该模型用方差度量风险的不足,进而提出一种新的证券投资组合优化模型,并以实例作了说明。 相似文献
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目标规划法在证券组合投资中的应用 总被引:2,自引:0,他引:2
证券投资是目前我国经济中的一大热点。本以Markowitz证券组合投资理论为基础,运用目标规划的方法建立一种新的证券组合投资决策模型。在本模型中综合考虑了证券组合的收益,风险,交易费用等因素,对投资选择有效证券组合有一定的实用价值。 相似文献
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单位收益率风险最小的组合证券投资决策模型 总被引:1,自引:1,他引:0
章首先分析了组合证券投资的收益率和风险,根据组合证券投资的亏本概率上界最小的原则,建立了单位收益率风险最小的组合证券投资决策模型,并证明了该模型的有效性。 相似文献
7.
熵—证券投资组合风险的一种新的度量方法 总被引:16,自引:0,他引:16
本文在研究马科维茨 ( Markowitz)证券投资组合模型的基础上 ,分析了该模型用方差度量风险的缺陷 ,进而提出用熵作为风险的度量方法 ,改进马科维茨 ( Markowitz)证券投资组合模型 ,并建立新的证券投资组合优化模型 相似文献
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证券组合投资决策的β模型 总被引:8,自引:0,他引:8
本文基于证券组合系统风险和非系统风险的定量分析,建立了含β约束的证券组合多目标优化模型。文中给出了模型的解析解,分析了解的性态,并通过数值例子检验了模型的解,研究结果表明,只要适当控制证券组合的非系统风险,就能确保所求证券组合具有良好的分散性,从而较好地解决了β-类模型中的投资分散问题。 相似文献
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基于区间证券组合的系统风险与非系统风险问题,建立一种新的含β约束的区间证券投资组合的多目标优化模型,使得证券组合投资更具柔性,最后,结合实例分析了该模型的现实应用价值. 相似文献
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《Journal of computational and graphical statistics》2013,22(4):1007-1023
We extend the least angle regression algorithm using the information geometry of dually flat spaces. The extended least angle regression algorithm is used for estimating parameters in generalized linear regression, and it can be also used for selecting explanatory variables. We use the fact that a model manifold of an exponential family is a dually flat space. In estimating parameters, curves corresponding to bisectors in the Euclidean space play an important role. Originally, the least angle regression algorithm is used for estimating parameters and selecting explanatory variables in linear regression. It is an efficient algorithm in the sense that the number of iterations is the same as the number of explanatory variables. We extend the algorithm while keeping this efficiency. However, the extended least angle regression algorithm differs significantly from the original algorithm. The extended least angle regression algorithm reduces one explanatory variable in each iteration while the original algorithm increases one explanatory variable in each iteration. We show results of the extended least angle regression algorithm for two types of datasets. The behavior of the extended least angle regression algorithm is shown. Especially, estimates of parameters become smaller and smaller, and vanish in turn. 相似文献
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András Frank 《Journal of Combinatorial Theory, Series B》1984,36(3):221-239
A combinatorial algorithm for finding a feasible vector of the Edmonds-Giles polyhedron is presented. The algorithm is polynomially bounded provided that an oracle is available for minimizing submodular functions. A feasibility theorem is also proved by the algorithm and, as a consequence, a good algorithm for finding an integer-valued modular function between a sub- and a supermodular function is deduced. An important idea in the algorithm is due to Schönsleben and Lawler and Martel: the shortest augmenting paths have to be chosen in a lexicographic order. 相似文献
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一种改进的禁忌搜索算法及其在连续全局优化中的应用 总被引:2,自引:1,他引:1
禁忌搜索算法是一种元启发式的全局优化算法,是局部搜索算法的一种推广,已被成功地应用于许多组合优化问题中。本文针对有界闭区域上的连续函数全局优化问题,提出了一种改进的禁忌搜索算法,并进行了理论分析和数值实验。数值实验表明,对于连续函数全局优化问题的求解该算法是可行有效的,并且结构简单,迭代次数较少,是一种较好的全局启发式优化算法。 相似文献
16.
研究了基于交通流的多模糊时间窗车辆路径问题,考虑了实际中不断变化的交通流以及客户具有多个模糊时间窗的情况,以最小化配送总成本和最大化客户满意度为目标,构建基于交通流的多模糊时间窗车辆路径模型。根据伊藤算法的基本原理,设计了求解该模型的改进伊藤算法,结合仿真算例进行了模拟计算,并与蚁群算法的计算结果进行了对比分析,结果表明,利用改进伊藤算法求解基于交通流的多模糊时间窗车辆路径问题,迭代次数小,效率更高,能够在较短的时间内收敛到全局最优解,可以有效的求解多模糊时间窗车辆路径问题。 相似文献
17.
线性规划流动等值面算法 总被引:5,自引:1,他引:4
对于线性规划问题,本文给出了基于流动等值面的等价模型,提出了一种不可行流动等值面算法.新算法保留了传统单纯形算法的优点并克服了它的不足。初步数值结果表明新算法比传统方法更为有效. 相似文献
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This paper deals with a recently proposed algorithm for obtaining all weak efficient and efficient solutions in a multi objective linear programming (MOLP) problem. The algorithm is based on solving some weighted sum problems, and presents an easy and clear solution structure. We first present an example to show that the algorithm may fail when at least one of these weighted sum problems has not a finite optimal solution. Then, the algorithm is modified to overcome this problem. The modified algorithm determines whether an efficient solution exists for a given MOLP and generates the solution set correctly (if exists) without any change in the complexity. 相似文献
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Amir Beck Yuval Beck Yoash Levron Alex Shtof Luba Tetruashvili 《Journal of Global Optimization》2018,72(3):373-402
We devise an algorithm for finding the global optimal solution of the so-called optimal power flow problem for a class of power networks with a tree topology, also called radial networks, for which an efficient and reliable algorithm was not previously known. The algorithm we present is called the tree reduction/expansion method, and is based on an equivalence between the input network and a single-node network. Finally, our numerical experiments demonstrate the reliability and robustness of our algorithm. 相似文献
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A. G. Sukharev 《Journal of Optimization Theory and Applications》1979,28(3):363-373
For the class of functions of one variable, satisfying the Lipschitz condition with a fixed constant, an optimal passive algorithm for numerical integration (an optimal quadrature formula) has been found by Nikol'skii. In this paper, a sequentially optimal algorithm is constructed; i.e., the algorithm on each step makes use in an optimal way of all relevant information which was accumulated on previous steps. Using the algorithm, it is necessary to solve an integer program at each step. An effective algorithm for solving these problems is given.The author is indebted to Professor S. E. Dreyfus, Department of Industrial Engineering and Operations Research, University of California, Berkeley, California, for his helpful attention to this paper. 相似文献