摘要
在分析Markowitz's证券组合投资模型最优解方法的基础上,给出了求解Markowitz's证券组合投资模型的有效集法;用该方法对一个具体实例的允许卖空情形与不允许卖空情形分别进行计算求解,实例的数值计算结果显示该方法是可行有效的.
Based on the optimal approach of Markowitz＇ s portfolio investment model, the algorithm of active set method to the above model was given. We applied this algorithm to solve an example with short sale and without short sale. Numerical implementation showed this method is practicable and effective.
出处
《经济数学》
2007年第3期239-243,共5页
Journal of Quantitative Economics
基金
广州中医药大学人文社科类研究基金资助项目(NO.0626)
关键词
证券组合投资
二次规划
有效集法
Portfolio investment, quadratic programming, active set method
