| 具有l_2范数有界不确定性扰动的证券投资决策分析 |
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| 引用本文： | 钟麦英,刘英义,易茂安.具有l_2范数有界不确定性扰动的证券投资决策分析[J].东华大学学报(自然科学版),2001(3). |
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| 作者姓名： | 钟麦英 刘英义 易茂安 |
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| 作者单位： | 东华大学旭日工商管理学院，济南军区司令部设计所，山东工业大学 上海，200051，济南，250022，济南，250061 |
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| 摘 要： | 研究了证券投资决策分析问题,建立了具有不确定性扰动的不变比例投资计划法的系统优化模型,应用复合形最优 算法,给出了H∞范数有界约束条件下的最优决策算法,并通过简例说明了算法的有效性。
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| 关 键 词： | 证券投资 复合形最优算法 H_∞范数 最优决策 |
Decision Analysis of Long-term Portfolio Investment With l_2-norm Bounded Disturbance |
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| Zhang Maiying.Decision Analysis of Long-term Portfolio Investment With l_2-norm Bounded Disturbance[J].Journal of Donghua University,2001(3). |
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| Authors: | Zhang Maiying |
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| Abstract: | In this paper, the long-term portfolio investment decision problem is addressed, and its discrete-lime model with norm bounded uncertainty is proposed. Applying complex method and H?norm bounded approach, the arithmetic steps are presented, and a simple example is given to demonstrate the effectiveness of the proposed method. |
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