一种有交易费用的交互式组合证券投资方法

针对Markowitz组合证券投资模型计算复杂、可操作差等缺陷,基于收益和风险满意度,试图提出更符合市场要求且更可操作的组合投资模型.通过分析提出了一种新的交互式组合证券投资方法,即将不可微的双目标规划问题转化为一个线性规划问题.该方法可以充分考虑投资者的要求.在考虑交易费用的前提下,在整个投资方案达到投资者要求底限的同时,实现收益和风险的权衡,并给出了数值算例.

An Interactive Approach for Portfolio Selection with Transaction Costs

By analyzing existent problem that computation is complex and operation is difficult in Markowitz's model of portfolio selection,based on profit satisfaction degree and risk satisfaction degree,this paper presents a new model that more actual and more easy to operate.By research of security market,presents a new interactive method for portfolio selection.With a transformation,we transform equivalently this no-differentiable and bi-(objective) optimization problem to a linear program.Themethod can meet investor's subjective desire sufficiently.Under the hypothesis of transaction cost,It gets a balance between profit and risk while satisfying the lower bound value of investor's requirements.And a numerical example is given.