带交易费用的离散多因素投资组合最优化(英文)  

Discrete Multi-factor Portfolio Optimization Model with Transaction Cost

作　　者：牛淑芬[1,2] 

机构地区：[1]上海大学数学系,上海200444 [2]西北师范大学数学系,兰州730070

出　　处：《大学数学》2009年第1期9-15,共7页College Mathematics

摘　　要：研究带有凹的交易费函数的离散多因素投资组合模型.与传统的投资组合模型不同的是,该模型中投资组合的决策变量是交易手数(整数),其最优化模型是一个非线性整数规划问题.为此本文提出了一个基于拉格朗日松弛和连续松弛的混合分枝定界算法,为测试算法的有效性,我们分别采用美国股票市场真实数据和随机产生的数据,数值结果表明该算法是有效的.We consider multi-factor pertfolio selection model with concave transaction cost. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is exploited by using Lagrangian relaxation and dual search. A new branch-and bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is then proposed. Computational experiments are carried out with data from real-world stock market and randomly generated.

关 键 词：金融优化 多因素模型 拉格朗日松弛 连续松弛 交易费 分枝定界法 

分 类 号：O29[理学—应用数学]