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带有基数限制的离散多因素投资组合模型
引用本文:牛淑芬,陈莉.带有基数限制的离散多因素投资组合模型[J].西北师范大学学报,2011,47(1).
作者姓名:牛淑芬  陈莉
作者单位:西北师范大学数学与信息科学学院;兰州城市学院数学学院;
基金项目:国家自然科学基金资助项目(61063041)
摘    要:研究带有基数限制的离散多因素投资组合模型.与传统的投资组合模型不同的是,该模型中投资组合的决策变量是交易手数(整数),且限制资产投资的最大数目,其最优化模型是一个非线性整数规划问题.分别用随机产生的一组数据和来自纳斯达克的40只股票数据,利用拉格朗日松弛的混合分枝定界算法求解此模型,并用FORTRAN语言编程,数值结果表明该算法能有效求解此模型.

关 键 词:组合优化  离数多因素模型  基数限制  分枝定界法  拉格朗日松驰  

Discrete multi-factor portfolio optimization model with cardinality constraints
NIU Shu-fen,CHEN Li.Discrete multi-factor portfolio optimization model with cardinality constraints[J].Journal of Northwest Normal University Natural Science (Bimonthly),2011,47(1).
Authors:NIU Shu-fen  CHEN Li
Institution:NIU Shu-fen1,CHEN Li2(1.College of Mathematics and Information Science,Northwest Normal University,Lanzhou 730070,Gausu,China,2.School of Mathematics,Lanzhou City University,Gansu,China)
Abstract:The multi-factor portfolio selection model with cardinality constraints is considered in this paper.This discrete portfolio model is of integer quadratic programming problems.The branch-and-bound algorithm on the Lagrangian dual relaxation and continuous relaxation is exploited for this model.Computational experiments are carried out with data from Nasadaq stock market and randomly generated.The results show that the algorithm is capable of solving the problems with up to 80 securities.
Keywords:portfolio optimization  discrete multi-factor model  cardinality constraint  branch-and-bound method  Lagrangian dual relaxation  
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