| 不允许卖空下证券投资组合的区间二次规划问题 |
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| 引用本文： | 徐晓宁,何枫.不允许卖空下证券投资组合的区间二次规划问题[J].中国管理科学,2012,20(3):57-62. |
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| 作者姓名： | 徐晓宁 何枫 |
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| 作者单位： | 北京科技大学东凌经济管理学院, 北京 100083 |
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| 基金项目： | 国家自然科学基金资助项目，北京市2009年优秀人才计划项目，中央高校基本科研业务费专项资金资助项目 |
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| 摘 要： | 本文基于经典的Markowitz均值-方差模型,针对市场上不允许卖空的情况,提出了证券投资组合的区间二次规划模型,通过应用区间数排序方法(区间序关系、区间可能度和区间可接受度),给出了两种证券投资组合的区间非线性优化的数学转化模型,从而将不确定性证券投资组合模型转化为确定性的证券投资组合二次规划模型进行求解,并对由本文给出的三种求解方法与传统方法进行了比较。
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| 关 键 词： | 证券投资组合 区间数 区间二次规划 满意解 |
| 收稿时间： | 2011-06-27; |
| 修稿时间： | 2012-01-21 |
Interval Quadratic Programming for the Portfolio Selection without Short-Selling |
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| XU Xiao-ning,HE Feng.Interval Quadratic Programming for the Portfolio Selection without Short-Selling[J].Chinese Journal of Management Science,2012,20(3):57-62. |
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| Authors: | XU Xiao-ning HE Feng |
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| Institution: | Dongling School of Economics and Management, Beijing University of Science & Technology, Beijing 100083, China |
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| Abstract: | Based on the Markowitz M-V theory, interval quadratic programming model of portfolio investment is proposed in this paper. In the case of no short sales of assets, this model is solved by applying approaches to compare any two intervals and introducing acceptability and possibility degree of interval number. Thus uncertainty model of portfolio investment is coverted into certainty quadratic programming model of portfolio investment. In addition, for the solution of interval quadratic programming, three solutions of the model given in this paper are compared with the traditional one. |
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| Keywords: | portfolio selection interval number interval quadratic programming satisfactory solution |
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