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风险随投资量变化的证券组合收益率最优化模型

The Model of Maximizing the Rate of Return on a Portfolio Under Risk Changing with the investment
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摘要 讨论了在交易成本为投资量的线性函数,及市场投资者承受风险随投资量变化的证券组合收益率最优化问题的分式规划模型,并把求解分式规划转化为求解一目标函数为线性函数简单的反凸规划的问题。 We discuss the fractional programming model of maximizing the rate of return on a portfolio under risk changing with the investmant on the market whose transaction cost is the linear function of investment. By using the method of transformation, we transform the fractional programming into the simple reserve convex programming with a linear object function.
出处 《长沙铁道学院学报》 CSCD 1998年第4期65-68,89,共5页 Journal of Changsha Railway University
基金 湖南省教委科研资助项目
关键词 证券组合 投资收益率 分式规划 portfolio rate of return on investment fractional programming
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  • 1R. Horst,Ng. V. Thoai,H. Tuy. Outer approximation by polyhedral convex sets[J] 1987,OR Spektrum(3):153~159

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