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| 均值绝对偏差资产组合选择模型的算法 | |
| 引用本文： | 张忠桢,唐小我. 均值绝对偏差资产组合选择模型的算法[J]. 电子科技大学学报(社会科学版), 2002, 0(4) |
| 作者姓名： | 张忠桢 唐小我 |
| 作者单位： | 武汉理工大学管理学院 武汉430070(张忠桢)，电子科技大学管理学院 成都610054(唐小我) |
| 基金项目： | 国家自然科学基金资助项目，编号:79970004 |
| 摘 要： | 对均值绝对偏差模型进行了简化,并利用一种旋转算法求解。这种算法比单纯形算法的计算简便,且计算量更小。利用上海和深圳股市1 072支股票70期周末收盘价所作的实验结果表明,对于资产无上界限制的模型,计算20个不同最优投资组合需要1 274次旋转运算,上界为10%时需要1 570次旋转运算,每 次旋转运算约需1 14171次加法和乘法运算。 |
| 关 键 词： | 资产组合选择 绝对偏差 线性规划 旋转算法 参数化方法 |
A Computing Method for Solving Mean-absolute Deviation Portfolio Selection Model |
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| Zhang Zhongzhen Tang Xiaowo. A Computing Method for Solving Mean-absolute Deviation Portfolio Selection Model[J]. Journal of University of Electronic Science and Technology of China(Social Sciences Edition), 2002, 0(4) | |
| Authors: | Zhang Zhongzhen Tang Xiaowo |
| Affiliation: | Zhang Zhongzhen1 Tang Xiaowo2 |
| Abstract: | In this paper, the model is reduced and solved by a pivoting-based algorithm proposed by the authors. This algorithm is simpler than the widely used simplex method and requires less amounts of computaion. The experimental results by using 70 weekly data of 1 072 stocks from Shanghai and Shenzhen stock markets of China indicate that 1 274 pivoting operations are required to obtain 20 different optimal portfolios if no upper bound restrictions for every stocks and 1 570 pivoting operations are required if the ratio of each stock is no more than 10%, in which one pivoting operation required about 1 14171 andditions and multiplications. |
| Keywords: | portfolio selection absolute deviation linear programming pivoting algorithm parametric method |
| 本文献已被 CNKI 等数据库收录！ | |