有交易费的证券组合投资优化模型  

Portfolio Investment Optimization Model with Transaction Costs

作　　者：赵娟[1] 李科学[2] 

机构地区：[1]华北水利水电学院,河南郑州450011 [2]郑州轻工业学院,河南郑州450003

出　　处：《华北水利水电学院学报》2006年第2期110-112,共3页North China Institute of Water Conservancy and Hydroelectric Power

摘　　要：针对传统风险测度存在的不足,将风险测度加以改进,研究证券组合投资问题.建立了以半绝对离差为风险测度、考虑交易费用的组合投资优化模型.通过变换将不可微的多目标规划问题转化为线性规划问题,考虑到现实中人们更侧重于关注风险,故所提出的方法是合理可行的.Traditionally, the definition of risk has its limitation. For this, the definition is to be improved. The portfolio selection is investigated. It is necessary to formulate a model of portfolio selection with transaction costs under semi-MAD. By transformation formula, the un-differentiable multi-objection programming problem can be converted to the linear programming problem. In reality, as more attention is paid to the risk, the. measure used is practical.

关 键 词：证券组合投资 交易费 半绝对离差 多目标规划 线性规划 

分 类 号：O221.6[理学—运筹学与控制论]