数学规划在证券组合优化投资中的应用

Mathematics Programming In The Application Of Investment Securities Optimization Grouping

证券市场信息是一种具有不确定性的缺失信息.证券组合投资的收益是一个动态的波值。即模型都要满足(达到) 两个目标:1、利润最大化。2、风险最小化。利润最大化是在风险相对固定下的最大化。风险最小化是在利润相对固定下的最小化。他们是互为前提的。所以没有绝对意义上的最优解。最优是相对的,也就是多目标规划下的次优解空间(或非劣解集)。在本文中我们在进行分析的基础上,建立一个合理的初等模型,利用数学的方法将模型进化,得到一个适应一般情况的模型。并对模型做进一步的改进,使其趋于合理。

The market information of the securities is that one kind can not have deterministically disappearance information. It is a dynamic wave value that the securities make the income invested up. On the basis of analysing , set up effective risk evaluate the mechanism in the article originally, set up one reasonable elementary model, method to utilize mathematics evolve the model, get a model which meets the general situation. Utilize this model to ask solving to the real data that is gathered , and then according to asking the result of solving to do further improvement to the model, make it tend towards it rationally.