组合投资问题的目标规划模型及其求解

Goal-Programming Model of Portfolio Investment with Typical Transaction Cost and Its Solution

引入非凹非凸的典型交易成本函数形式,考虑分红收益提出含有典型交易成本的组合投资问题的目标规划模型.通过实例对模型中无交易成本、含有V-型交易成本、典型交易成本时所得的有效前沿进行比较,并分析了不同期望收益水平对投资组合的影响.

A typical transaction cost model with no-convex-no-concave function is introduced;a goal- programming model of portfolio investment is put forward with the profit sharing. The influences of transaction cost and expectation yield level on the effectiveness of portfolio are investigated though a number example.