摘要
将均值方差资产组合选择问题视作一个双目标规划 ,并引入凸借款成本。利用线性加权法构造一个单目标凸规划 ,然后用序列二次规划法求解。对于一种指数形式的成本函数 ,QBASIC程序从 10 0支股票中计算出 2 1个不同有效投资组合最多需要 383次旋转运算和 14秒钟 ,平均每个有效投资组合约需要 18× 10 0 2
The mean variance portfolio selection problem is viewed as a two objective programming and the convex loan cost is introduced which is transformed into a single objective convex programming by the linearly weighted method and solved by a sequence of quadratic programming. For an exponential cost function, the QBASIC program requires at most 383 pivoting operations and 14 seconds to obtain 21 different efficient portfolios from 100 stocks, averagely, each efficient portfolio requires 18×100 2 multiplications and additions.
出处
《武汉理工大学学报》
CAS
CSCD
2002年第8期90-92,共3页
Journal of Wuhan University of Technology
基金
国家自然科学基金资助项目 (79970 0 0 4 )
