摘要
引入概率测度和置信水平,给出了组合证券投资决策的随机规划模型.并针对风险证券投资组合收益率随机变量的分布情况,分别给出了模型的不同解法,即传统的优化理论算法和等价性线性规划算法.数值算例表明,该算法具有简便、可行、有效的特点,更具有实际的应用价值.
A stochastic model is given for portfolio selection by the probability measure and confidence level. The difference solutions are obtained based on random variable distributing, namely, the conventional optimization algorithm and the equivalent linear programming algorithm. The experiment results show that the proposed algorithm is simple and feasible, and has practical value.
作者
刘晓娟
LIU Xiaojuan(School of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, Chin)
出处
《上海电力学院学报》
CAS
2017年第3期304-306,共3页
Journal of Shanghai University of Electric Power
关键词
证券投资选择
随机规划模型
概率测度
线性规划
securities investment choice
stochastic model
probability measure
linear programming
