| 限制性卖空的均值-半绝对偏差投资组合模型及其旋转算法研究 |
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| 引用本文： | 张鹏,张忠桢,岳超源. 限制性卖空的均值-半绝对偏差投资组合模型及其旋转算法研究[J]. 中国管理科学, 2006, 14(2): 7-11 |
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| 作者姓名： | 张鹏 张忠桢 岳超源 |
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| 作者单位： | 1. 华中科技大学系统工程研究所, 湖北, 武汉, 430074;2. 武汉理工大学管理学院, 湖北, 武汉, 430070 |
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| 摘 要： | 本文提出了限制性卖空的均值-半绝对偏差投资组合模型,通过变量替换将该模型转变为一般线性规划问题,从而运用线性规划的旋转算法进行求解。最后,文章以一个具体的算例验证了该算法的有效性,并证明将限制性卖空引入到投资组合中,有助于增强市场效率,降低市场风险。
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| 关 键 词： | 投资组合 均值-半绝对偏差 限制性卖空 旋转算法 |
| 文章编号： | 1003-207(2006)02-0007-05 |
| 收稿时间： | 2005-09-10; |
| 修稿时间： | 2005-09-10 |
Optimization of the Mean Semi - absolute Deviation Portfolio Selection Model with the Restricted Short Selling Based on the Pivoting Algorithm |
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| ZHANG Peng,ZHANG Zhong-zhen,YUE Chao-yuan. Optimization of the Mean Semi - absolute Deviation Portfolio Selection Model with the Restricted Short Selling Based on the Pivoting Algorithm[J]. Chinese Journal of Management Science, 2006, 14(2): 7-11 |
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| Authors: | ZHANG Peng ZHANG Zhong-zhen YUE Chao-yuan |
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| Affiliation: | 1. Institute of System Engineering, Huazhong University of Science and Technology, Wuhan 430074, China;2. School of Management, Wuhan University of Technology, Wuhan 430070, China |
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| Abstract: | We propose a mean semi-absolute deviation portfolio selection model with the restricted short selling.The model is a linear programming problem and is solved by the pivoting algorithm.At last,we prove the algorithm is highly effective and the restricted short selling can increase the efficiency of the security market by an example. |
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| Keywords: | portfolio selection mean semi-absolute deviation the restricted short selling pivoting algorithm |
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