线性规划在债券组合投资中的应用

Application of Linear Programming in Bond Portfolio Investment

线性规划是运筹学中的一个重要的分支,线性规划模型应用广泛,在经济管理、交通运输、军事指挥、工农业生产等活动中起着重要作用;求解方法比较成熟,专门用于求解规划问题的软件LINGO功能强大,能够求解线性和非线性问题,且模型语言表述简单、直观方便,能够快速、方便、有效的构建和求解线性,非线性最优化模型。运用线性规划模型求解问题可以在一定条件限制下,合理科学地制定决策,使达到最优决策。本文主要以用线性规划方法求解一个实际问题,来展示线性规划方法在债券投资组合方面的应用。

Linear programming is an important branch of operations research. Linear programming model is widely used and plays an important role in economic management, transportation, military command, industrial and agricultural production. The solution method is relatively mature. Lingo, a software specially used for solving planning problems, has powerful functions and can solve linear and nonlinear problems. The model language is simple, intuitive and convenient. It can quickly, conveniently and effectively construct and solve linear and nonlinear optimization models. Using the linear programming model to solve the problem can make the decision reasonably and scientifically under certain conditions, so as to achieve the optimal decision. This paper mainly uses linear programming method to solve a practical problem, to show the application of linear programming method in bond portfolio.