| 带交易费的证券组合选择模型的一种化简求解方法 |
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| 引用本文： | 吴国云,杨丰梅.带交易费的证券组合选择模型的一种化简求解方法[J].北京化工大学学报(自然科学版),2006,33(6):107-109. |
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| 作者姓名： | 吴国云 杨丰梅 |
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| 作者单位： | 北京化工大学,理学院,北京,100029;北京化工大学,理学院,北京,100029 |
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| 摘 要： | 带交易费的最优证券组合选择问题可以表示为一类不可微非线性规划模型。为了求解这类模型，一些学者通过引进大量的辅助变量经过多次变换将其转换为一个线性规划问题。本文提出一种新的化简方法，一次变换即可将该类不可微非线性规划模型转化为一个线性规划模型，不仅简化了求解过程，而且还减少了最终的线性规划问题的变量个数。
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| 关 键 词： | 证券组合选择 不可微优化 线性规划 |
| 收稿时间： | 2006-01-10 |
| 修稿时间： | 2006年1月10日 |
A simplified method for transforming a portfolio selection problem with transaction costs to a linear programming problem |
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| WU Guo-yun,YANG Feng-mei.A simplified method for transforming a portfolio selection problem with transaction costs to a linear programming problem[J].Journal of Beijing University of Chemical Technology,2006,33(6):107-109. |
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| Authors: | WU Guo-yun YANG Feng-mei |
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| Institution: | School of Science, Beijing University of Chemical Technology, Beijing 100029, China |
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| Abstract: | A simplified method is proposed for solving a portfolio selection problem with transaction costs.The problem is formulated as a bi-objective programming model,but is non-differentiable and is difficult to solve.By means of an appropriate operation,the non-differentiable nonlinear programming problem can be transformed to a linear program.This paper proposes a new method which makes this process much simpler and can reduce the number of the variables of the final linear program. |
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| Keywords: | portfolio selection non-differentiable optimization linear program |
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