一类投资组合优化问题的求解及实证分析

SOLUTION AND EVIDENCE FOR A CLASS OF PORTFOLIO OPTIMIZATION MODEL

在证券投资组合优化的决策问题中 ,投资者通过选取不同的证券分散风险 ,为了使分散化的利益最大化 ,还须考虑证券组合的最佳规模以及交易成本 .本文在给出求解这类问题的一种计算方法的基础上 ,进行实证分析 .这里所用的方法以及结果 ,也适合于其他各种具有风险的投资决策问题 .

In security portfolio optimization,investors distribute their investment risk by taking into different securities.In order to make the maximum of portfolio return,the optimization size and transaction cost must be considered.This paper gives a computation method for the above problem,then gives evidence analyses.