| 带工业约束和交易费用的离散投资组合最优化 |
| |
| 引用本文： | 王国欣,沈秋英,孙小玲. 带工业约束和交易费用的离散投资组合最优化[J]. 上海大学学报(自然科学版), 2007, 13(6): 736-740 |
| |
| 作者姓名： | 王国欣 沈秋英 孙小玲 |
| |
| 作者单位： | 上海大学,理学院,上海,200444;上海大学,理学院,上海,200444;上海大学,理学院,上海,200444 |
| |
| 摘 要： | 该文研究带有工业约束和凹的交易费函数的离散单因素投资组合模型.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),其最优化模型是一个非线性整数规划问题.为此提出了一个基于拉格朗日松弛和连续松弛的混合分枝定界算法,而且分别采用股票市场的真实数据和随机产生的数据来测试该算法的有效性.
|
| 关 键 词： | 金融优化 单因素模型 拉格朗日松弛 连续松弛 交易费 分枝定界法 |
| 文章编号： | 1007-2861（2007）06-0736-05 |
| 收稿时间： | 2006-10-24 |
| 修稿时间： | 2006-10-24 |
Discrete Portfolio Optimization with Industry Constraints and Transaction Cost |
| |
| WANG Guo-xin,SHEN Qiu-ying,SUN Xiao-ling. Discrete Portfolio Optimization with Industry Constraints and Transaction Cost[J]. Journal of Shanghai University(Natural Science), 2007, 13(6): 736-740 |
| |
| Authors: | WANG Guo-xin SHEN Qiu-ying SUN Xiao-ling |
| |
| Affiliation: | School of Sciences, Shanghai University, Shanghai 200444， China |
| |
| Abstract: | We consider the discrete single-factor portfolio selection model with industry constraints and concave transaction cost, This model is a nonlinear integer programming problem. A hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation is proposed for this model. Computational experiments are carried out with data both from the real-world stock market and generated randomly. |
| |
| Keywords: | portfolio optimization single-factor model Lagrangian relaxation continuous relaxation transaction cost branch-and-bound method |
| 本文献已被 维普 万方数据 等数据库收录！ |
| 点击此处可从《上海大学学报(自然科学版)》浏览原始摘要信息 |
|
点击此处可从《上海大学学报(自然科学版)》下载全文 |
