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带工业约束和交易费用的离散投资组合最优化 被引量：1

Discrete Portfolio Optimization with Industry Constraints and Transaction Cost
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摘要 该文研究带有工业约束和凹的交易费函数的离散单因素投资组合模型.与传统的投资组合模型不同的是,该模型中投资组合的决策变量是交易手数(整数),其最优化模型是一个非线性整数规划问题.为此提出了一个基于拉格朗日松弛和连续松弛的混合分枝定界算法,而且分别采用股票市场的真实数据和随机产生的数据来测试该算法的有效性. We consider the discrete single-factor portfolio selection model with industry constraints and concave transaction cost, This model is a nonlinear integer programming problem. A hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation is proposed for this model. Computational experiments are carried out with data both from the real-world stock market and generated randomly.
作者 王国欣 沈秋英 孙小玲
机构地区 上海大学理学院
出处 《上海大学学报（自然科学版）》 CAS CSCD 北大核心 2007年第6期736-740,共5页 Journal of Shanghai University:Natural Science Edition
基金 国家自然科学基金资助项目(1057111670518001)
关键词 金融优化 单因素模型 拉格朗日松弛 连续松弛 交易费 分枝定界法 portfolio optimization single-factor model Lagrangian relaxation continuous relaxation transaction cost branch-and-bound method
分类号 O221.4 [理学—运筹学与控制论]
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参考文献8

  • 1MARKOWITZ H M. Portfolio selection [ J ]. Journal of Finance, 1952, 7:77-91.
  • 2MITRA G, KYRIAKIS T, LUCAS C, et al. A review of portfolio planning : models and systems [ M ]// SATCHELL S E, SCROWCROFT A E, eds. Advances in Portfolio Construction and Implementation. Oxford: Butterworth & Heinemann, 2003 : 1-39.
  • 3SHARPE W F. A simplied model for portfolio analysis [ J ]. Management Science, 1963, 9:277-293.
  • 4LI D, SUN X L, WANG J. Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection [J]. Mathematical Finance, 2006, 16:83-101.
  • 5SYAM S S. A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals [ J ]. European Journal of Operational Research, 1998, 108: 196-207.
  • 6KONNO H, WIJAYANAYAKE A. Portfolio optimization under d. c. transaction costs and minimal transaction unit constraints [J]. Journal of Global Optimization, 2002, 22 : 137-154.
  • 7KONNO H, WIJAYANAYAKE A. Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints [ J ]. Mathematical Programming, 2001, 89:233-250.
  • 8LI D, SUN X L. Nonlinear integer programming [ M ]. New York : Springer, 2006 : 14-95.

同被引文献7

  • 1Markowitz H.M. Portfolio selection[J]. Journal of Finance, 1952,7( ! ):77 -91.
  • 2Sharpe W.F. A simplied model for portfolio analysis [ J ]. Management Science, 1963,9 (2) :277 - 293.
  • 3Li D, Sun X. L. Wang J. Optimal lot solution to cardinatity constrained mean-va, riance formulation for portfolio selection [ J]. Mathematical Finance ,2006,16 ( 1 ) :83 - 101.
  • 4Syam S. S. A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals[ J]. European Journal of Operational Research, 1998,108 ( 1 ) : 196 - 207.
  • 5Konno K. Wijayanayake A. Portfolio optimization problem under concave transaction costs and minimal trancaction unit constraints [ J ]. Mathematical Programming, 2001,89 ( 2 ) : 233 - 250.
  • 6Li I). Sun X.L. Nonlinear Integer Programming[ M ]. New York: Springer,2006.
  • 7Konno H. Wijayanayake A. Portfolio optimization under D. C. transaction costs and minimal transaction unit constraints[ J]. Journal of Global Optimization,2002,22(1) :137 - 154.

引证文献1

上海大学学报（自然科学版）
2007年 第6期

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