| 不确定条件下具有容差项的Markowitz证券组合投资模型的最优化解法 |
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| 引用本文： | 田振明.不确定条件下具有容差项的Markowitz证券组合投资模型的最优化解法[J].数学理论与应用,2013(3):48-56. |
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| 作者姓名： | 田振明 |
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| 作者单位： | 广州中医药大学经济与管理学院,广州510006 |
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| 摘 要： | 在分析证券市场中证券组合投资不确定性质的基础上，通过对Markowitz模型中证券期望收益与方差引入容差项来度量证券市场的不确定性，建立了不确定条件下具有容差项的Markowitz证券组合投资模型；分类讨论了容差的上界与下界所对应的两类有效组合前沿，得到了不确定条件下的证券组合投资模型的最优化解法及相关定理；最后给出了一个具体的数值实例．
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| 关 键 词： | 证券组合 Karush—Kuhn—Tucker条件 容差 |
An Optimal Approach To Markowitz Portfolio Investment Model with Addmissible Error Under Uncertainty Conditions |
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| Tian Zhenming.An Optimal Approach To Markowitz Portfolio Investment Model with Addmissible Error Under Uncertainty Conditions[J].Mathematical Theory and Applications,2013(3):48-56. |
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| Authors: | Tian Zhenming |
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| Institution: | Tian Zhenming (School of Economy and Management, Guangzhou University of Chinese Medicine, Guangzhou, 510006, China) |
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| Abstract: | In this paper, based on Markowitz portfolio investment model, applying the admissible error of expectation and variance, we study the portfolio investment model under uncertainty conditions ; discuss two frontiers of the portfo- lio according the upper bound and lower bound of admissible error; get the optimal approach to the portfolio invest- ment model with admissible error and its theorems. At last, we give a numerical example. |
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| Keywords: | Portfolio Karush - Kuhn - Tucker Conditions Admissible error |
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