共查询到17条相似文献,搜索用时 169 毫秒
1.
多阶段M-SV投资组合优化的离散近似迭代法研究 总被引:2,自引:0,他引:2
文章提出了离散近似迭代法,用该方法求解具有交易成本和交易量限制的多阶段均值一半方差(M-sV)投资组合模型.离散近似迭代方法的基本思路为:首先,将连续型状态变量离散化,根据网络图的构造方法将上述模型转化多阶段赋权有向图;其次,运用嘉量原理求出起点至终点的最长路程,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.文章还证明了该方法的收敛性和复杂性. 相似文献
2.
多阶段均值-半绝对偏差模糊投资组合优化研究 总被引:1,自引:0,他引:1
考虑交易成本和交易量限制,提出投资组合的收益率的隶属函数为梯形的多阶段均值-半绝对偏差可能性投资组合模型,并用自创算法——离散近似迭代法求解.其基本思路为:将连续型状态变量离散化,根据网络图的构造方法将上述模型转化多阶段赋权有向图;运用极大代数求出起点至终点的最长路程,即获得模型的一个可行解;以该可行解为基础,继续迭代直到前后两个可行解非常接近.文章还证明了该方法的线性收敛.最后,文章以一个具体的算例验证了该算法的有效性. 相似文献
3.
张鹏 《数学的实践与认识》2011,41(15)
将动态风险度量方法运用到多阶段投资组合中,提出了具有交易成本和交易量限制的均值—动态VaR多阶段投资组合模型,并运用自创算法——离散近似迭代法求解.方法的基本思路为:首先,将模型中的连续型状态变量离散化,并将上述模型转化多阶段赋权有向图,然后,运用极大代数求出起点至终点的最长路程,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.证明了该方法的收敛性,并以一个具体的算例,验证了该算法可以较快地计算出不同终期财富所对应的最优投资策略. 相似文献
4.
连续型凸动态规划的离散近似迭代法研究 总被引:1,自引:0,他引:1
为解决连续型凸动态规划的“维数灾”问题,提出了一种新的算法—离散近似迭代法.该算法的基本思路为:首先,将连续型状态变量离散化,根据网络图的构造方法将动态规划问题转化为多阶段有向赋权图;其次,运用极大代数求出起点至终点的最短路,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.文章还证明了该算法的收敛性和线性收敛,并以一个具体例子验证了算法的有效性. 相似文献
5.
用多尺度快速配置法求解病态积分方程的隐式迭代方程.在积分算子是扇形紧算子时,该方法得到了离散隐式迭代方程的近似解.采用Morozov偏差原理作为停止准则,并证明了在该准则下隐式迭代正则化方法所得近似解的收敛率.最后,用数值实验证实理论结果和说明数值方法的有效性. 相似文献
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研究了一个强非线性波动方程.利用泛函分析变分迭代方法,首先构造了一个变分, 求出相应的Lagrange乘子;其次构造一个解的变分迭代, 选取初始孤子波;最后利用迭代方法依次求出各次孤子波的近似解.该方法是一个简单可行的近似求解非线性方程的方法 相似文献
8.
姜德民 《数学的实践与认识》2009,39(12)
研究了时滞Lolta-Volterra生态模型.利用同伦分析方法,得到了该模型解的近似展开式,并对近似解与数值解进行了比较.比较结果表明,近似解具有较高的精度,该方法用于生态模型研究可行. 相似文献
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考虑了第一类Fredholm积分方程的求解.采用有矩阵压缩策略的多尺度配置方法来离散Lavrentiev迭代方程,在积分算子是弱扇形紧算子时,给出近似解的先验误差估计,并给出了改进的后验参数的选择方法,得到了近似解的收敛率.最后,举例说明算法的有效性. 相似文献
11.
This paper presents a method for solving multiperiod investment models with downside risk control characterized by the portfolio’s worst outcome. The stochastic programming problem is decomposed into two subproblems: a nonlinear optimization model identifying the optimal terminal wealth distribution and a stochastic linear programming model replicating the identified optimal portfolio wealth. The replicating portfolio coincides with the optimal solution to the investor’s problem if the market is frictionless. The multiperiod stochastic linear programming model tests for the absence of arbitrage opportunities and its dual feasible solutions generate all risk neutral probability measures. When there are constraints such as liquidity or position requirements, the method yields approximate portfolio policies by minimizing the initial cost of the replication portfolio. A numerical example illustrates the difference between the replicating result and the optimal unconstrained portfolio. 相似文献
12.
In this paper, we propose to combine the Marginal Indemnification Function (MIF) formulation and the Lagrangian dual method to solve optimal reinsurance model with distortion risk measure and distortion reinsurance premium principle. The MIF method exploits the absolute continuity of admissible indemnification functions and formulates optimal reinsurance model into a functional linear programming of determining an optimal measurable function valued over a bounded interval. The MIF method was recently introduced to analyze the reinsurance model but without premium budget constraint. In this paper, a Lagrangian dual method is applied to combine with MIF to solve for optimal reinsurance solutions under premium budget constraint. Compared with the existing literature, the proposed integrated MIF-based Lagrangian dual method provides a more technically convenient and transparent solution to the optimal reinsurance design. To demonstrate the practicality of the proposed method, analytical solution is derived on a particular reinsurance model that involves minimizing Conditional Value at Risk (a special case of distortion function) and with the reinsurance premium being determined by the inverse-S shaped distortion principle. 相似文献
13.
Xixia Ma 《Applicable analysis》2018,97(9):1600-1610
We study the nonhomogeneous boundary value problem for the steady Magnetohydrodynamic equations in a two-dimensional bounded domain with multiply connected boundary. We prove that this problem has an admissible solution in an admissible domain if the boundary value is admissible. The proof of the main result uses some property for a weak solution to the transport equations in an admissible domain. 相似文献
14.
The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic
programming. In order to find a solution we therefore first introduce independent market clones having the same distributional
properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance.
By letting the number of market clones converge to infinity we are able to solve the original mean variance problem. 相似文献
15.
Bahl and Zionts [H.C. Bahl, S. Zionts, A noniterative multiproduct multiperiod production planning method, Operations Research Letters 1 (1982) 219-221] formulated a problem for planning multiproduct multiperiod production on a single facility. They developed a column-minima noniterative method and claimed that it gave an optimal solution. We show that the claim is incorrect. 相似文献
16.
《European Journal of Operational Research》1987,29(3):328-335
Forward algorithms provide a managerially practical way to solve multiperiod problems by solving progressively longer finite horizon subproblems. Many procedures of this nature already exist for special structures. Aronson, Thompson, and Morton have developed a forward simplex method for general staircase-structured linear programs. In this paper this method is extended to the case in which the objective function is convex. 相似文献