| 自融资均值方差投资组合模型的旋转算法 |
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| 引用本文： | 陈铁英,张忠桢.自融资均值方差投资组合模型的旋转算法[J].系统工程理论与实践,2004,24(6):98-103. |
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| 作者姓名： | 陈铁英 张忠桢 |
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| 作者单位： | (1) 武汉理工大学管理学院;(2)华中科技大学系统工程研究所 |
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| 基金项目： | 国家自然科学基金(79970004) |
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| 摘 要： | 将自融资投资组合问题用一个以极小化方差风险为目标的凸二次规划表示,用线性不等式组的一种旋转算法解其库恩塔克条件的线性部分并使互补松弛条件得以满足.
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| 关 键 词： | 自融资投资组合 均值方差模型 凸二次规划 旋转算法 |
| 文章编号： | 1000-6788(2004)06-0098-06 |
| 修稿时间： | 2003年4月13日 |
A Pivoting Based Algorithm for Self-Financing Mean Variance Portfolio Model |
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| CHEN Tie-ying,ZHANG Zhong-zhen.A Pivoting Based Algorithm for Self-Financing Mean Variance Portfolio Model[J].Systems Engineering —Theory & Practice,2004,24(6):98-103. |
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| Authors: | CHEN Tie-ying ZHANG Zhong-zhen |
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| Institution: | (1)Institute of Systems Engineering, Huazhong University of Science and Technology;(2)School of Management, Wuhan University of Technology |
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| Abstract: | The self-financing portfolio problem is formulated as a convex quadratic programming where the variance risk of portfolio is minimized. It is solved by a pivoting based algorithm for the system of linear inequalities by solving the linear part of Kuhn-Tucker conditions while maintaining complementarity conditions. |
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| Keywords: | Self-financing portfolio mean-variance model convex quadratic programming pivoting algorithm |
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