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不同类型离散投资组合模型的比较及启发

Comparison and Inspiration of Different Discrete Portfolio Models
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摘要 研究不同目标函数和不同约束条件的离散单因素投资组合模型.给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,并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,最后利用数据结果对不同类型的投资组合模型进行了比较. This paper studies the discrete single-factor portfolio selection models with different objective functions and different constraints. Using a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, computational experiments are carried out with data from real-world stock market and those randomly generated. And the different models are compared based on the results.
作者 王国欣 宋苏罗
机构地区 南阳理工学院应用数学系
出处 《许昌学院学报》 CAS 2009年第5期20-26,共7页 Journal of Xuchang University
关键词 离散单因素模型 拉格朗日松弛 连续松弛 分枝定界法 discrete single-factor model Lagrangian relaxation continuous relaxation branch-and-bound method
分类号 O221 [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.
  • 2Sharpe W.F. A simplied model for portfolio analysis [ J ]. Management Science, 1963,9 (2) :277 - 293.
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  • 6王国欣,沈秋英,孙小玲.带工业约束和交易费用的离散投资组合最优化[J].上海大学学报（自然科学版）,2007,13(6):736-740. 被引量：1
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  • 8Konno 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.

二级参考文献8

  • 1SHARPE W F. A simplied model for portfolio analysis [ J ]. Management Science, 1963, 9:277-293.
  • 2LI 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.
  • 3SYAM 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.
  • 4KONNO H, WIJAYANAYAKE A. Portfolio optimization under d. c. transaction costs and minimal transaction unit constraints [J]. Journal of Global Optimization, 2002, 22 : 137-154.
  • 5KONNO H, WIJAYANAYAKE A. Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints [ J ]. Mathematical Programming, 2001, 89:233-250.
  • 6LI D, SUN X L. Nonlinear integer programming [ M ]. New York : Springer, 2006 : 14-95.
  • 7MARKOWITZ H M. Portfolio selection [ J ]. Journal of Finance, 1952, 7:77-91.
  • 8MITRA 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.
许昌学院学报
2009年 第5期

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