含交易费用的证券组合投资模型的满意解  

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

作　　者：赵玉梅[1] 鲍宏伟[1] 孙西超[1] 

机构地区：[1]蚌埠学院数理系,安徽蚌埠233030

出　　处：《大学数学》2010年第4期143-147,共5页College Mathematics

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(2010ZR10;2010ZR04)

摘　　要：在证券组合投资过程中,忽略交易费用会导致非有效的证券组合投资,本文提出了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,通过引入区间数线性规划问题中的目标函数优化水平参数λ和约束条件满足水平参数η将目标函数和约束条件均为区间数的区间数线性规划模型转化为确定型的一般线性规划模型,进而求得相应于优化水平λ和满足水平η的满意解.In portfolio investment,the neglect of the transaction cost can make the investment less profitable. This paper presents an interval number linear programming model,which takes the transaction cost into consideration,for the portfolio investment. Furthermore,this essay also reports that by appliying two parameters,that is,the objective function optimizing parameter λ and the constrained satisfaction parameter η,to the interval number linear programming model,in which the value of both of the objective function and constrained condition are interval numbers,the interval number linear programming model can be optimized into a general interval number linear programming model with great accuracy. Therefore,a satisfactory solution corresponds to the application of optimizing parameter λ and constrained satisfaction parameter η can be obtained.

关 键 词：区间数线性规划 满意解 证券组合投资 交易费用 

分 类 号：F830.59[经济管理—金融学]