| 组合证券投资决策树形算法的简化方法 |
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| 引用本文： | 唐小我,傅庚,曾勇.组合证券投资决策树形算法的简化方法[J].电子科技大学学报(社会科学版),1995(5). |
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| 作者姓名： | 唐小我 傅庚 曾勇 |
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| 作者单位： | 成都电子科技大学管理学院 |
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| 基金项目： | 国家教委优秀年轻教师基金 |
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| 摘 要： | 研究了不允许卖空情况下组合证券投资决策树形算法￣［１］的简化问题，提出了三种简化计算方法，这些方法可以有效地降低树形算法应用于大规模证券组合时的计算工作量。
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| 关 键 词： | 组合证券，风险，卖空，树形算法 |
Simplification of the Tree Searching Algorithm for Portfolio Investment Decision |
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| Tang Xiaowo,Fu Geng,Zeng Yong.Simplification of the Tree Searching Algorithm for Portfolio Investment Decision[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),1995(5). |
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| Authors: | Tang Xiaowo Fu Geng Zeng Yong |
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| Abstract: | The computation of the inverse of the inverse of covariance matrix is the key to the tree searching algorithm proposed in an earlier for investiment decision of portfolios in which short selling is prohibited .Therefore ,the algorithm is time -consuming and unefficient for large scale ortfolio problems.This paper studies simplification of the algortithm and proposes three simplified computation methods,whichcan efficiently reduce computation work of the algorithm being appied to large scale portfolio investmentand can be furtherly combined to raise the efficiency much more.The proposed methods are of importancein practice. |
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| Keywords: | portfolio risk short selling the tree searching algorithm |
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