套利组合的最大收益模型研究  

Research on the Maximum Return Models for Arbitrage Portfolio

作　　者：毛克宁 

机构地区：[1]广东理工学院经济管理学院,广东肇庆526100

出　　处：《数学的实践与认识》2016年第5期133-139,共7页Mathematics in Practice and Theory

摘　　要：主旨是建立套利组合最大收益的线性规划模型,使模型符合套利组合收益最大化的本意并且尽量简化.通过六个命题阐述和严格证明了套利组合收益的几个模型的一些特性,尤其是得出了使得套利组合获得最大收益的一个必要条件(命题3)和一个符合套利组合收益最大化的本意并且达到了简化目的线性规划模型(命题5).The purpose of this paper is to set up the maximum return linear programming models for arbitrage portfolio,which makes the models accord with the real meaning of the maximum return on arbitrage portfolio and as simple as possible.This paper explains and strictly proves several properties of some return models for arbitrage portfolio by six propositions,especially draws a necessary condition that makes the arbitrage portfolio obtain maximum return（Proposition 3） and gives a linear programming model which accords with the real meaning of the maximum return on arbitrage portfolio and has achieved the purpose to be simple（Proposition 5）.

关 键 词：套利组合 最大收益 线性规划 

分 类 号：F830.91[经济管理—金融学] F224