证券组合模型系数的凸二次规划求解方法  

On the portfolio model coefficients employing the convex quadratic programming

作　　者：孙培培[1] 刘小冬[1] 张守刚[1] 

机构地区：[1]西北工业大学理学院,西安710072

出　　处：《西南民族大学学报（自然科学版）》2005年第6期859-860,共2页Journal of Southwest Minzu University(Natural Science Edition)

摘　　要：证券组合问题是二次规划问题,在证券组合模型中的协方差矩阵为正定的条件下,利用矩阵理论将其转化为等价的无约束优化问题。并且建立了原问题的K-T点与等价无约束问题的稳定点之间的关系。为证券组合投资的最优化提供科学依据和有效的计算方法。The portfolio coefficient problem is reduced to a quadratic programming problem. We can transfer the problem into an equivalent unconstrained problem when the problem is a positive definite quadratic problem by using the matrix theory. Moreover, we get the relationship between the K - T point of the primal problem and the stationary point of the unconstrained problem. This method provides some scientific evidence and an algorithm to the optimal portfolio investment.

关 键 词：组合系数 协方差矩阵 二次规划 K-T点 稳定点 

分 类 号：O221.2[理学—运筹学与控制论]