考虑完整交易费用的组合证券投资求解  

Solving Portfolio Investment with Full Transaction Cost

作　　者：荣喜民[1] 李楠[1] 

机构地区：[1]天津大学理学院,天津300072

出　　处：《数学的实践与认识》2007年第10期22-27,共6页Mathematics in Practice and Theory

基　　金：天津市自然科学基金(07JCYBJC05200);南开大学-天津大学刘徽应用数学中心资助项目(2001T07)

摘　　要：针对中国证券市场现存的各种交易费用,建立一个更加符合实际的组合证券投资模型.该模型不仅继承了股票不可拆分、不能卖空等特点,而且完全反映了交易费用的核算情况;最后给出一个遗传算法结合动态罚函数求解的投资实例,计算结果证明了该模型及其求解方法的有效性和可操作性.Considering all kinds of transaction cost in Chinese stock market, a more actual portfolio investment model is presented in this paper. This model not only inherits the stock＇s characters of no dividing stocks and no short selling, but also reflects the account of transaction cost entirely. At last, an investment example which is solved by genetic algorithm combined with dynamic penalty function is given. And results demonstrate that the model and its solving method are effect and maneuverable.

关 键 词：交易费用 组合证券投资 遗传算法 

分 类 号：F832.51[经济管理—金融学] F224