| 指数跟踪问题的广义双线性规划模型 |
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| 引用本文： | 劳剑勇. 指数跟踪问题的广义双线性规划模型[J]. 应用数学与计算数学学报, 2004, 18(1): 85-91 |
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| 作者姓名： | 劳剑勇 |
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| 作者单位： | 上海智赢商务咨询公司,上海,200072 |
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| 摘 要： | 本文对指数跟踪问题建立了一种广义的双线性规划模型,其中考虑了交易费用、持仓限制与重平衡问题.根据该模型的特殊结构,本文给出了近似规划算法,通过逐次逼近的线性规划求解最优指数跟踪问题.
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| 关 键 词： | 指数跟踪 广义双线性规划 近似算法 线性规划 |
| 修稿时间： | 2004-04-06 |
Generalized Bilinear Programming Model for Index Tracking Problem |
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| Lao JianyongShanghai Zhiying Commercial Consultation Company,Shanghai. Generalized Bilinear Programming Model for Index Tracking Problem[J]. Communication on Applied Mathematics and Computation, 2004, 18(1): 85-91 |
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| Authors: | Lao JianyongShanghai Zhiying Commercial Consultation Company Shanghai |
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| Affiliation: | Lao JianyongShanghai Zhiying Commercial Consultation Company,Shanghai,200072 |
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| Abstract: | This paper proposes a generalized bilinear programming model for index tracking problem with transaction costs, rebalance and holding constraints. By the especial structure of this model, this paper provides an approximation programming algorithm, which searches the solution of index tracking problem using the successive approximate linear program-mings. |
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| Keywords: | index tracking generalized Bilinear programming approximation algorithm linear programming |
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