摘要
关于投资组合问题 ,Markowitz的均值 -方差模型奠定了理论基础。近年来出现了许多简化模型 ,多目标线性规划模型是其中之一。但是这种线性化方法不便于处理非线性的交易费。本文建立一种动态规划模型和递推算法。
Markowitz's “mean variance” model lays theoretic foundation on the portfolio analysis. Many simplified models have arisen recently, one of which is the multiple objective linear programming. But this kind of linear method is not suitable to deal with the non linear transaction costs. This paper presents a dynamic programming model and recursive algorithms for the problem.
出处
《运筹与管理》
CSCD
2000年第3期102-106,共5页
Operations Research and Management Science
关键词
证券投资组合
动态规划
递推算法
portfolio
dynamic programming
recursive algorithm
