摘要
限制卖空的情形下 ,本文提出了一种求解高维数组合投资问题的转轴方法。该方法的优点在于能够处理各投资项目之间的协方差矩阵为半正定的情形。
In this paper,we propose a pivoting method and present a method to solve the high-dimension portfolio problem under the condition of not allowing short sales.An advantage of this method is that it can be applied when the covariance matrix of the invested projects is positive semi-definite.
出处
《预测》
CSSCI
2002年第3期76-78,共3页
Forecasting
关键词
转轴方法
二次规划
线性互补问题
pivoting method
quadratic programming
linear complementarity problem
