不确定条件下具有容差项的Markowitz证券组合投资模型的最优化解法  

An Optimal Approach To Markowitz Portfolio Investment Model with Addmissible Error Under Uncertainty Conditions

作　　者：田振明[1] 

机构地区：[1]广州中医药大学经济与管理学院,广州510006

出　　处：《数学理论与应用》2013年第3期48-56,共9页Mathematical Theory and Applications

摘　　要：在分析证券市场中证券组合投资不确定性质的基础上,通过对Markowitz模型中证券期望收益与方差引入容差项来度量证券市场的不确定性,建立了不确定条件下具有容差项的Markowitz证券组合投资模型;分类讨论了容差的上界与下界所对应的两类有效组合前沿,得到了不确定条件下的证券组合投资模型的最优化解法及相关定理;最后给出了一个具体的数值实例.In this paper, based on Markowitz portfolio investment model, applying the admissible error of expectation and variance, we study the portfolio investment model under uncertainty conditions ; discuss two frontiers of the portfo- lio according the upper bound and lower bound of admissible error; get the optimal approach to the portfolio invest- ment model with admissible error and its theorems. At last, we give a numerical example.

关 键 词：证券组合 Karush—Kuhn—Tucker条件 容差 

分 类 号：F224[经济管理—国民经济] F830.91