| 组合投资问题的目标规划模型及其求解 |
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| 引用本文： | 阿春香,邵仪. 组合投资问题的目标规划模型及其求解[J]. 肇庆学院学报, 2007, 28(2): 26-28 |
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| 作者姓名： | 阿春香 邵仪 |
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| 作者单位： | 肇庆学院数学系 广东肇庆526061 |
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| 摘 要： | 引入非凹非凸的典型交易成本函数形式,考虑分红收益提出含有典型交易成本的组合投资问题的目标规划模型.通过实例对模型中无交易成本、含有V-型交易成本、典型交易成本时所得的有效前沿进行比较,并分析了不同期望收益水平对投资组合的影响.
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| 关 键 词： | 组合投资 目标规划 典型交易成本函数 |
| 文章编号： | 1009-8445(2007)02-0026-03 |
| 修稿时间： | 2006-09-29 |
Goal-Programming Model of Portfolio Investment with Typical Transaction Cost and Its Solution |
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| A Chunxiang,SHAO Yi. Goal-Programming Model of Portfolio Investment with Typical Transaction Cost and Its Solution[J]. Journal of Zhaoqing University (Bimonthly), 2007, 28(2): 26-28 |
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| Authors: | A Chunxiang SHAO Yi |
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| Abstract: | A typical transaction cost model with no-convex-no-concave function is introduced;a goal-programming model of portfolio investment is put forward with the profit sharing.The influences of transaction cost and expectation yield level on the effectiveness of portfolio are investigated though a number example. |
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| Keywords: | portfolio goal-programming typical transaction cost |
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