非负约束条件下组合证券投资决策的分枝定界法  

Branch-bound Method for Portfolio Investment Decision under Nonnegative Constraint

作　　者：张京[1] 

机构地区：[1]东北大学理学院数学系,辽宁沈阳110004

出　　处：《数学的实践与认识》2004年第5期18-23,共6页Mathematics in Practice and Theory

摘　　要：研究非负约束条件下 ,实现预期收益率的组合证券投资决策问题 ,将整数线性规划的分枝定界法用于该问题的求解 。The portfolio investment decision with expected return rate is studied under nonnegative constraint. The problem is solved with the branch-bound method of the integer linear programming, and the algorithm is applied to a four variables portfolio investment decision problem.

关 键 词：非负约束条件 预期收益率 组合证券投资决策 分枝定界法 四元证券投资决策 整数线性规划 风险 

分 类 号：F830.9[经济管理—金融学]