摘要
为了建立符合我国证券市场实际情况的马科维茨模型,通过逐步添加限制条件的方法,建立了一个基于买空卖空限制、交易费用限制、最小交易单位限制的模型.用MATLAB软件实现非线性非光滑规划问题的求解,并用该方法来解决所建立的马科维茨模型.选取上海证券市场15只股票进行实证研究.结果表明,该模型及算法是有效的.
Taking into account the actual situation of Chinese securities market,in order to establish the Markowitz model,we attempt to establish a constrained portfolio selection model based on the no short buy and sale,transaction costs and minimum lot constraints by gradually adding constraints.The nonlinear and non-smooth programming problem was solved using MATLAB,and the portfolio model was established.15stocks in Shanghai Stock Exchange were chosen to make empirical research.The results showed that the model and the algorithm were valid.
出处
《甘肃科学学报》
2013年第3期146-149,共4页
Journal of Gansu Sciences
基金
湖北科技学院校级科研项目(KY11040)
