证券组合模型系数的二次规划求解  

On the portfolio model coefficients employing the quadratic programming

作　　者：何朝林[1] 王旭[1] 

机构地区：[1]安徽机电学院纺织服装系,安徽芜湖241000

出　　处：《安徽机电学院学报》2001年第2期57-61,共5页Journal of Anhui Institute of Mechanical and Electrical Engineering

摘　　要：首先介绍了证券组合模型系数，认为是二次规划问题，讨论了 Kuhn－ Tucker条件，接着在证券组合模型中证券之间的协方差矩阵为正定矩阵及约束为线性约束的条件下，利用 Kuhn－ Tucker条件将二次规划问题转为简单的线性问题.由于该线性问题的互补性，给出 Lemke转轴算法的理论求解过程.最后给出一实例使得对全过程有更清楚的理解.为证券组合投资的最优化提供科学依据和计算方法.The portfolio coefficients are discussed and help to decide it is a quadratic programming problem. Then,we uses the kuhn－ tucker condition to transfer the quadratic programming problem into a simple linear problem, on the condition that the covariance matrix of the securities inside portfolio is positive－ definite and the constraints are linear. The simple linear problem being mutually complementary, it can be used for the solving process of the Lemke's Piloting Algorithm. At last, an example is given to make the whole process clear. All these provide scientific evidences and algorithms to the optimum porfolio investment.

关 键 词：协方差矩阵 二次规划 线性互补问题 KUHN-TUCKER条件 Lemke转轴算法 证券组合模型系数 

分 类 号：F830.91[经济管理—金融学] O221[理学—运筹学与控制论]