| 证券组合模型系数的凸二次规划求解方法 |
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| 引用本文： | 孙培培,刘小冬,张守刚.证券组合模型系数的凸二次规划求解方法[J].西南民族学院学报(自然科学版),2005,31(6):859-860. |
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| 作者姓名： | 孙培培 刘小冬 张守刚 |
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| 作者单位： | 西北工业大学理学院,西安710072 |
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| 摘 要： | 证券组合问题是二次规划问题,在证券组合模型中的协方差矩阵为正定的条件下,利用矩阵理论将其转化为等价的无约束优化问题.并且建立了原问题的K-T点与等价无约束问题的稳定点之间的关系.为证券组合投资的最优化提供科学依据和有效的计算方法.
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| 关 键 词： | 组合系数 协方差矩阵 二次规划 K-T点 稳定点 |
| 文章编号： | 1003-2843（2005）06-0859-02 |
| 收稿时间： | 2005-06-02 |
| 修稿时间： | 2005年6月2日 |
On the portfolio model coefficients employing the convex quadratic programming |
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| SUN Pei-pei,LIU Xiao-dong,ZHANG Shou-gang.On the portfolio model coefficients employing the convex quadratic programming[J].Journal of Southwest Nationalities College(Natural Science Edition),2005,31(6):859-860. |
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| Authors: | SUN Pei-pei LIU Xiao-dong ZHANG Shou-gang |
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| Abstract: | The portfolio coefficient problem is reduced to a quadratic programming problem. We can transfer the problem into an equivalent unconstrained problem when the problem is a positive definite quadratic problem by using the matrix theory. Moreover, we get the relationship between the K - T point of the primal problem and the stationary point of the unconstrained problem. This method provides some scientific evidence and an algorithm to the optimal portfolio investment. |
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| Keywords: | covariance matrix quadratic programming K -T Point stationary point |
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