不确定条件下的两阶段投资组合问题的逐步对冲算法  

Progressive Hedging Algorithm for Two-stage Portfolio Problem Under Uncertainty

作　　者：陆媛[1] 孙双 LU Yuan;SUN Shuang(Normal College,Shenyang University,Shenyang 110044,China;College of Information Technology,Shenyang University,Shenyang 110044,China)

机构地区：[1]沈阳大学师范学院,辽宁沈阳110044 [2]沈阳大学信息学院,辽宁沈阳110044

出　　处：《沈阳大学学报（自然科学版）》2020年第3期263-265,共3页Journal of Shenyang University：Natural Science

基　　金：国家自然科学基金资助项目(11301347).

摘　　要：建立了具有随机因素的两阶段投资组合问题的数学模型,推导出该模型的KKT最优性条件,并将这个最优性条件转化为一个随机变分不等式问题.利用上述随机变分不等的结构特点,设计了适合随机两阶段投资组合问题模型的逐步对冲算法.A mathematical model of two-stage portfolio problem with stochastic factors is established,then the KKT optimality condition of the model is derived,and the optimality condition is tansformed into a stochastic variational inequality problem.Finally,a progressive hedging algorithm for this stochastic two-stage portfolio problem is designed according to the structural characteristics of the above-mentioned stochastic variational inequality.

关 键 词：投资组合问题 随机变分不等式 逐步对冲算法 迫近点理论 KKT条件 

分 类 号：O221[理学—运筹学与控制论]