| 允许卖空条件下证券投资组合的区间二次规划问题 |
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| 引用本文： | 徐晓宁,何枫,陈荣,张庆芝. 允许卖空条件下证券投资组合的区间二次规划问题[J]. 系统工程理论与实践, 2013, 33(10): 2533-2538. DOI: 10.12011/1000-6788(2013)10-2533 |
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| 作者姓名： | 徐晓宁 何枫 陈荣 张庆芝 |
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| 作者单位： | 1. 北京科技大学 东凌经济管理学院, 北京 100083;2. 清华大学 经济管理学院, 北京 100084 |
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| 基金项目： | 国家自然科学基金(70802007, 71172011); 教育部新世纪优秀人才支持计划(NCET-12-0772); 中央高校基本科研业务费专项资金(FRF-TP-09-022A) |
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| 摘 要： | 本文基于经典的Markowitz均值-方差模型, 针对市场上允许卖空的情况, 提出了证券投资组合的区间二次规划模型, 通过应用区间数排序方法(区间序关系、区间可能度和区间可接受度), 给出了两种证券投资组合的区间非线性优化的数学转化模型, 从而将不确定性证券投资组合模型转化为确定性的证券投资组合二次规划模型进行求解, 并对由本文给出的两种求解方法进行了比较．
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| 关 键 词： | 卖空机制 证券投资组合 区间数 区间二次规划 满意解 |
| 收稿时间： | 2011-09-05 |
Interval quadratic programming for the portfolio selection with short sales allowed |
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| XU Xiao-ning,HE Feng,CHEN Rong,ZHANG Qing-zhi. Interval quadratic programming for the portfolio selection with short sales allowed[J]. Systems Engineering —Theory & Practice, 2013, 33(10): 2533-2538. DOI: 10.12011/1000-6788(2013)10-2533 |
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| Authors: | XU Xiao-ning HE Feng CHEN Rong ZHANG Qing-zhi |
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| Affiliation: | 1. Dongling School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China;2. School of Economics and Management, Tsinghua University, Beijing 100084, China |
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| Abstract: | Based on the Markowitz M-V theory, an interval quadratic programming model of portfolio selection is proposed with short sales allowed. Approaches have been put forward by applying approaches to compare any two intervals and introducing acceptability degree and possibility degree of interval number. Consequently it converted uncertain quadratic portfolio model into certain quadratic portfolio model to deal with it. In addition, it compared two solutions of the model. |
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| Keywords: | short-selling mechanism portfolio selection interval number interval quadratic programming satisfactory solution |
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