金融资产组合优化管理系统

A Portfolio Optimation System for Financial

本文介绍一种金融资产组合优化管理系统（ＰｏｒｔｆｏｌｉｏＯｐｔｉｍｉｚａｔｉｏｎＳｙｓｔｅｍ）。该系统由数据处理、优化计算两大模块构成，具有数据处理、计算最小方差集、自动绘制资产组合效率边界和资本市场线、确定最优资产组合等功能，可为金融机构的资产组合优化提供决策支持。在优化程序的研制中，本系统开发了一个比用Ｗｏｌｆｅ方法更为简便易行的计算程序。最后，以实例说明了本系统的使用。

This paper describes a decision support system for financial institutions named by POS(Portfolio Optimization System).POS is built by two modules and can perform some fonc- tions as data pre-processing,optimizing,automatically drawing portfolio efficient frontier and capital market line,deciding optimal portfolio. In the optimization module,a more simple and convenient program is developed and proved reliable. Eeywords financial institution;portfolio;quadratic program,decision support system