This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper...This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.展开更多
基金Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)
文摘This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.
