不允许卖空下的最优投资组合

研究了带有交易费且不允许卖空条件下的最优投资组合问题，交易费函数h(x)的不可微导致了求解过程的复杂，为方便求解，该文首次引入了次微分，建立了函数h(x)的次微分表达式，由此可以求出最优投资组合.给出了实例，运用MATLAB计算出结果，并将结果与文献《投资组合优化与无套利分析》（李仲飞，汪寿阳，2000）中结果进行了对比，实验结果表明用次微分方法所得结果比上述文献的要好.

The Epfimal Portfolio Leleetion with No Short Sales

This paper studied the optimal portfolio of the problem with transaction costs and no short sales.Based on linear weighted sum method,the multi-objective optimization problem is transformed into a single objective optimization problem,then we analysis the optimal solution.Because the nondifferential of transaction costs function brings trouble,we bring into subdifferential,according to the definition,we solve the subdifferential of transaction costs function h(x).Then according to Fritz-John condition,we gi...