带交易费的证券组合选择模型的一种化简求解方法  

A simplified method for transforming a portfolio selection problem with transaction costs to a linear programming problem

作　　者：吴国云[1] 杨丰梅[1] 

机构地区：[1]北京化工大学理学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2006年第6期107-109,共3页Journal of Beijing University of Chemical Technology(Natural Science Edition)

基　　金：国家自然科学基金(10171108)

摘　　要：带交易费的最优证券组合选择问题可以表示为一类不可微非线性规划模型。为了求解这类模型,一些学者通过引进大量的辅助变量经过多次变换将其转换为一个线性规划问题。本文提出一种新的化简方法,一次变换即可将该类不可微非线性规划模型转化为一个线性规划模型,不仅简化了求解过程,而且还减少了最终的线性规划问题的变量个数。A simplified method is proposed for solving a portfolio selection problem with transaction costs. The problem is formulated as a bi-objective programming model, but is non-differentiable and is difficult to solve. By means of an appropriate operation, the non-differentiable nonlinear programming problem can be transformed to a linear program. This paper proposes a new method which makes this process much simpler and can reduce the number of the variables of the final linear program.

关 键 词：证券组合选择 不可微优化 线性规划 

分 类 号：F224.9[经济管理—国民经济]