摘要
主要研究证劵投资组合中的误差追踪模型,并将此模型转换成二次锥规划模型,然后利用SDPT3软件来求解二次锥规划,以致解决误差追踪问题.
In this paper,the Error tracking model of Securities investment is mainly studied. Firstly,transform it into the second- order cone programming,then use SDPT3 software to solve the two cone programming,and lastly the rationality of the Model is tested by numerical example.
出处
《通化师范学院学报》
2016年第6期36-38,共3页
Journal of Tonghua Normal University
基金
国家自然科学基金(71561008)
关键词
二次锥规划
投资组合
最优化方法
the second-order cone programming
Portfolio Selection Problem
optimization method
