考虑保证金和卖空限制的资产组合优化研究  

Portfolio Optimization Under Constraints of Margin Purchase and Short Selling

作　　者：刘燕武[1] 张忠桢[1] 

机构地区：[1]武汉理工大学管理学院,武汉430070

出　　处：《武汉理工大学学报》2007年第11期148-151,共4页Journal of Wuhan University of Technology

基　　金：国家自然科学基金(60574070)

摘　　要：充分考虑了在实际资产组合选择中对保证金购买和卖空交易的种种限制,并在此基础上建立了能够较好反映现实交易要求且具有一般意义的多空资产组合选择模型。将包含3n个决策变量的一般模型等价转化成包含2n个决策变量的模型,研究了运用旋转算法求解一般多空资产组合选择模型的步骤,并用一个具体算例验证了该算法的有效性。A general portfolio optimization model was presented to take into account constraints of margin purchase and short selling, which can reflect realistic restrictions. A straightforward way of solving the model results in a 3 n-demensional optimization problem with 3n additional constraints. A method called pivoting algorithm for solving the 3n-dimensional problem by solving a 2n-dimensional optimization problem was presented. The efficiency of the method was verified by computing the efficient frontier and optimal portfolio of an investing example about the general model.

关 键 词：资产组合优化 保证金购买 卖空 旋转算法 

分 类 号：F830.9[经济管理—金融学]