摘要
针对传统风险测度存在的不足,将风险测度加以改进,研究证券组合投资问题.建立了以半绝对离差为风险测度、考虑交易费用的组合投资优化模型.通过变换将不可微的多目标规划问题转化为线性规划问题,考虑到现实中人们更侧重于关注风险,故所提出的方法是合理可行的.
Traditionally, the definition of risk has its limitation. For this, the definition is to be improved. The portfolio selection is investigated. It is necessary to formulate a model of portfolio selection with transaction costs under semi-MAD. By transformation formula, the un-differentiable multi-objection programming problem can be converted to the linear programming problem. In reality, as more attention is paid to the risk, the. measure used is practical.
出处
《华北水利水电学院学报》
2006年第2期110-112,共3页
North China Institute of Water Conservancy and Hydroelectric Power
关键词
证券组合投资
交易费
半绝对离差
多目标规划
线性规划
portfolio investment
transaction costs
semi-MAD
multi-objection programming
linear programming
