不同类型离散投资组合模型的比较及启发  

Comparison and Inspiration of Different Discrete Portfolio Models

作　　者：王国欣[1] 宋苏罗[1] 

机构地区：[1]南阳理工学院应用数学系,河南南阳473004

出　　处：《许昌学院学报》2009年第5期20-26,共7页Journal of Xuchang University

摘　　要：研究不同目标函数和不同约束条件的离散单因素投资组合模型.给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,并分别采用股票市场的真实数据和随机产生的数据来测试该算法的有效性,最后利用数据结果对不同类型的投资组合模型进行了比较.This paper studies the discrete single-factor portfolio selection models with different objective functions and different constraints. Using a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, computational experiments are carried out with data from real-world stock market and those randomly generated. And the different models are compared based on the results.

关 键 词：离散单因素模型 拉格朗日松弛 连续松弛 分枝定界法 

分 类 号：O221[理学—运筹学与控制论]