摘要
本文提出了证券投资组合的一个新模型.该模型综合考虑了证券的收益率、证券分红和证券价格的关系,并将证券分红和证券价格作为系统的随机参数处理,建立了证券投资组合的随机规划模型.利用机会约束规划方法,我们研究了将所建立的随机规划模型转化为普通光滑优化问题求解的方法,得到了该类问题求解的有效途径.
In this paper, a new model is constructed for the portfolio selction problem, where the return of the investment, the dividend of eack stock and the price of stock are taken into consideration. Due to the uncertainty of the dividend and the price of each stock in the future, the portfolio selection problem is formulated as a class of stochastic programs in the paper. By the chance constrained programming method, we obtain an approach to solution of this problem by transforming it into standard smooth optimization problem.
出处
《经济数学》
2008年第1期36-41,共6页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(No.10571046)
关键词
证券组合
投资收益
证券红利
证券价格
机会约束规划
Portfolio selection, return of investment, stock dividend, stock price, chance constrained programming
