| 带交易费用的投资组合模型的割平面解法 |
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| 引用本文： | 陈国华,陈收,廖小莲.带交易费用的投资组合模型的割平面解法[J].数学理论与应用,2005,25(4):8-10. |
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| 作者姓名： | 陈国华 陈收 廖小莲 |
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| 作者单位： | [1]湖南大学工商管理学院,410082 [2]湖南人文科技学院数学系,417000 [3]中南大学数学与计算科学院,410075 |
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| 基金项目： | Supported by the National Science Foundation of China under Grant No. 70221001. |
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| 摘 要： | 本文讨论了带交易费用的投资组合模型，因对这一类带二次约束的线性优化问题没有特殊的处理方法，我们利用割平面法使这一非线性优化间题可通过解一系列线性规划问题来求解．
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| 关 键 词： | 投资组合模型 割平面法 交易费用 二次约束 线性优化 |
| 收稿时间： | 10 15 2005 12:00AM |
| 修稿时间： | 2005-10-15 |
A Cutting Plane Method to Mean Variance Selection Model with Transaction Cost |
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| ChenGuohua, Chen Shou, Liao Xiaolian.A Cutting Plane Method to Mean Variance Selection Model with Transaction Cost[J].Mathematical Theory and Applications,2005,25(4):8-10. |
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| Authors: | ChenGuohua Chen Shou Liao Xiaolian |
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| Institution: | 1. School of Business Administration, Hunan University, Changsha 410082; 2. Department of mathematics Hunan Institute of Humanities Science and Technology Loudi 417000. 3. School of Mathematical Science and Computing Technology of central south university, Changsha 410075 |
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| Abstract: | This paper deals with mean variance portfolio selection problem with transaction cost(MVC).Problem(MVC) is a linear optimal problem with an additional quadratic constraint.For such problems thereare no special standard algorithms.Of course,one could treat this problem with general methods of nonlinearoptimization,but this would lead to inefficient algorithms.We propose a cutting plane algorithm to solve(MVC).The nonlinear programming problem can be solved by sequence linear programming problem.Anumerical example is given to illustrate the behavior of the proposed algorithm. |
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| Keywords: | Portfolio selection cutting plane algorithm transaction cost |
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