可退化套利组合的线性模型

Linear models of the degenerate arbitrage portfolio

为进一步探讨涉及交易费用的套利组合预期收益最大化问题,定义了可退化套利组合,在证券资产任意可分的假设下建立了预期收益最大化的可退化线性规划模型LP_(D),得出了模型的一些典型特性;为更贴近股市交易现实,去掉股票资产任意可分的假设,建立了预期收益最大化的可退化整数线性规划模型IP_(D).这2个模型都属于线性模型,不仅简明,更可以便捷地使用LINDO和LINGO软件进行运算.

In order to further explore the expected maximum return of arbitrage portfolio with transaction costs,the degenerate arbitrage portfolio is defined.Under the assumption that the security assets are arbitrarily separable,the degenerate linear programming model LPD is established to maximize the expected return,and some typical characteristics of the model are obtained.In order to get closer to the reality of stock market trading,the assumption that stock assets can be divided arbitrarily is removed.The degenerate integer linear programming model IP_(D) for maximizing expected revenue is established.Both of these are linear models,which are not only concise,but also convenient to use LINDO and LINGO software to calculate.