组合证券投资决策的随机规划模型及其等价算法  

A Stochastic Model and Algorithm in Portfolio Selection

作　　者：刘晓娟[1] LIU Xiaojuan(School of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, Chin)

机构地区：[1]上海电力学院数理学院,上海200090

出　　处：《上海电力学院学报》2017年第3期304-306,共3页Journal of Shanghai University of Electric Power

摘　　要：引入概率测度和置信水平,给出了组合证券投资决策的随机规划模型.并针对风险证券投资组合收益率随机变量的分布情况,分别给出了模型的不同解法,即传统的优化理论算法和等价性线性规划算法.数值算例表明,该算法具有简便、可行、有效的特点,更具有实际的应用价值.A stochastic model is given for portfolio selection by the probability measure and confidence level. The difference solutions are obtained based on random variable distributing, namely, the conventional optimization algorithm and the equivalent linear programming algorithm. The experiment results show that the proposed algorithm is simple and feasible, and has practical value.

关 键 词：证券投资选择 随机规划模型 概率测度 线性规划 

分 类 号：F830.9[经济管理—金融学]