摘要
基于对目标函数和约束函数的同时抽样,给出求解凸随机规划的Monte Carlo模拟的算法及其收敛性.将得到的结果和算法应用到以半偏差为约束的投资组合优化问题,并且给出相应的数值试验.
Algorithms based on Monte Carlo sampling both of objective and constraint functions are presented for solving convex stochastic programs, and their convergence theorems are given. They are employed to deal with portfolio optimization problems with a semi-variance constraint. Numerical experiments are also given.
出处
《运筹学学报》
CSCD
2009年第2期25-32,共8页
Operations Research Transactions
基金
supported by the Foundation of Dalian University of Technology(No.893305,No.893204,No.842314,No.842332 and No.DUTHS2008407)
关键词
运筹学
随机规划
MONTE
CARLO模拟
凸分析
投资组合优化
半偏差
Operations research, stochastic programs, Monte Carlo simulation, convex analysis, portfolio optimization, semi-variance Subject Classification
