| 绝对离差风险下含有交易费的证券组合投资模型 |
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| 引用本文： | 白洪远,张晓梅.绝对离差风险下含有交易费的证券组合投资模型[J].河南教育学院学报(自然科学版),2005,14(3):20-22. |
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| 作者姓名： | 白洪远 张晓梅 |
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| 作者单位： | 河南农业大学,信息与管理科学学院,河南,郑州,450002 |
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| 摘 要： | 鉴于均值-方差模型求解二次规划问题的复杂性,且实证表明方差不一定存在.用组合证券收益的平均绝对离差作为风险,考虑到收益最大与风险最小,建立数学模型,研究含有交易费的证券组合投资问题,并给出了算法.
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| 关 键 词： | 证券组合投资 交易费 绝对离差 |
| 文章编号： | 1007-0834(2005)03-0020-03 |
| 收稿时间： | 2005-08-01 |
| 修稿时间： | 2005年8月1日 |
The Portfolio Investment Model with Transaction Costs under Absolute - deviation |
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| BAI Hong-yuan,ZHANG Xiao-mei.The Portfolio Investment Model with Transaction Costs under Absolute - deviation[J].Journal of Henan Education Institute(Natural Science Edition),2005,14(3):20-22. |
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| Authors: | BAI Hong-yuan ZHANG Xiao-mei |
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| Institution: | College of Information and Management Science, Henan Agricultural University, Zhengzhou 450002, China |
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| Abstract: | In view of the complexity of the calculation in traditional MV model, and in reality, the existence of variance is plausible. The absolute - deviation is defined as variance. To obtain maximal income and minimal risk, mathematic model is established, corresponding example is presented and settled. |
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| Keywords: | portfolio investment transaction costs absolute - deviation |
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