基于二次规划的多目标投资组合模型  

Multi-objected Investment Combination Model Base on Quadratic Programming

作　　者：王梦东[1] 童仕宽[1] 

机构地区：[1]武汉理工大学理学院,武汉430070

出　　处：《武汉理工大学学报》2007年第8期171-174,共4页Journal of Wuhan University of Technology

基　　金：国家自然科学基金(70371063)

摘　　要：在现代投资组合理论中经常使用多目标投资组合模型,但这些模型的缺陷是明显的。其一是对投资者的风险偏好难于体现出来;二是模型的求解都面临困难。为此引入偏好参数θ将多目标问题转化为单个目标的二次规划问题,既能弥补以前的模型的缺陷,又使得能寻找到更好的解法来获得有效投资组合。Among many modern investment combination theories,the Multi-objected Investment Combination Model was frequently used.However,the shortcoming of these models was also obvious.In fact,it was difficult to find the risk preference of the investor.Besides,finding the solution to these models was troublesome.Thus,this paper quoted the preference parameter θ,in order to change the multiobjected problem into single-objected quadric planning problem.Not only can it make up for the shortcoming of the model,but also able to find a better solution to obtain effective investment combination.

关 键 词：多目标投资组合 二次规划 偏好参数 

分 类 号：O29[理学—应用数学]