组合证券的二叉树混合规划模型  

THE BINOMIAL MODEL OF HYBRID PROGRAM FOR THE PORTFOLIO SELECTION

作　　者：宋瑞才[1] 荣喜民[1] 

机构地区：[1]天津大学理学院应用数学系,天津300072

出　　处：《天津轻工业学院学报》2003年第B12期33-36,共4页Journal of Tianjin University of Light Industry

基　　金：南开大学天津大学刘徽应用数学中心资助(2001T08)

摘　　要：在分析Harry Markowitz组合证券投资的基础上,结合股票价格的随机性,将二叉树模型应用在组合投资中,提出了组合证券投资的二叉树混合规划模型,并用遗传算法求得全局最优解,使决策更加符合市场变化,对组合投资决策有重要指导意义,最后通过释例进行了说明。In this paper, through analyze the Markowitz's portfolio selection model, and combines the randomness of the price of the stocks, use the binomial model in portfolio selection, give the bi- nomial model of hybrid program for the portfolio selection, and use genetic algorithms to seek the optimum of overall situation. This model makes the decision accord with the market, and has impor- tant directive significance in making up investment decisions. And the authors give an illustration to show their application.

关 键 词：HarryMarkowitz 组合证券 二叉树模型 遗传算法 投资风险 投资收益 几何布朗运动 股票 收益率 波动率 

分 类 号：F830.59[经济管理—金融学] F224.3