非负约束条件下组合证券投资决策方法的进一步研究

An Advanced Study on Decision Method of Portfolios Investment under the Condition of Non-Negative Constrains

本文进一步研究非负投资比例系数约束条件下,实现预期投资收益率的组合证券投资问题,提出解决该问题的一种改进树形算法,并将该算法应用于一个六元证券投资问题。

This paper discussed the problem of the portfolio investment with expected rate of return under the condition of non-negative constrains, presented an advanced tree searching algorithm for solv-ing the problem,and applied this algorithm to a six securitis portfolio investment problem.