摘要
引入了一种风险度量指标——组合偏差，构造出寻求最优投资组合的两目标决策模型，并采用约束法将其转化为线性单目标规划模型。该模型与均值－方差模型相比较，无论是在模型的合理性，还是在求解模型的方便性等方面，都有所改善，证明了线性单目标规划模型存在最优解，求解该模型等价于求解相应的线性规划模型。
A new risk index,compound deviation,which consist of positive and negative deviations,is introduced.Based on the compound deviation,a portfolio optimization model is proposed.It is then transformed to a single object linear optimization model by employing proper restraints.Compared with MVM(mean value model),it is more accurate and convenient for the new model to be resolved.It is proved that the optimal resolution exists,and resolving this model is equal to resolving the relative linear optimization model.
出处
《西南交通大学学报》
EI
CSCD
北大核心
1998年第3期305-311,共7页
Journal of Southwest Jiaotong University
