含交易费用的证券组合投资的区间数线性规划模型  

The Interval Number Linear Programming Model for Portfolio Investment Subject to Transaction Cost

作　　者：赵玉梅[1] 孙西超[1] 桂云[1] 

机构地区：[1]蚌埠学院数学与物理系,安徽蚌埠233030

出　　处：《合肥学院学报（自然科学版）》2010年第3期19-21,55,共4页Journal of Hefei University :Natural Sciences

基　　金：安徽省教育厅优秀青年人才基金项目(2009SQRZ124);蚌埠学院自然科学研究项目(2010ZR04;2010ZR10)资助

摘　　要：交易费用是证券交易过程中一个实际的、必不可少的因素,通过提出一个考虑交易费用的证券组合投资的区间数线性规划模型,并确定了其有效解.该模型使证券组合投资理论更接近于实际,使投资决策更合理、更有效.Transaction cost is a practical and essential factor in the course of portfolio transaction.This paper aims at presenting an interval number linear programming model,which takes the transaction cost into consideration,for the portfolio investment and offering the efficient solution to the model.Via this model,the theory of portfolio investment can be improved to be more realistic and the investment strategy will become more rational and bring more profits to the investors.

关 键 词：交易费用 证券组合投资 区间数线性规划 有效解. 

分 类 号：F830.9[经济管理—金融学] O221[理学—运筹学与控制论]