组合模型在现实投资交易中的应用

数学季刊 ›› 2013, Vol. 28 ›› Issue (1): 33-40.

组合模型在现实投资交易中的应用

School of Mathematics and Physics, Nanyang Institute of Technology

收稿日期:2011-03-01 出版日期:2013-03-30 发布日期:2023-03-07
作者简介:WANG Guo-xin(1984-), female, native of Nanyang, Henan, a lecturer of Nanyang Institute of Technology, M.S.D., engages in mathematical programming; LIU Jing(1980-), female, native of Nanyang, Henan, a lecturer of Nanyang Institute of Technology, M.S.D., engages in computational mathematics.
基金资助:
Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)

Application of Portfolio Model in the Real Investment Transactions

School of Mathematics and Physics, Nanyang Institute of Technology

Received:2011-03-01 Online:2013-03-30 Published:2023-03-07
About author:WANG Guo-xin(1984-), female, native of Nanyang, Henan, a lecturer of Nanyang Institute of Technology, M.S.D., engages in mathematical programming; LIU Jing(1980-), female, native of Nanyang, Henan, a lecturer of Nanyang Institute of Technology, M.S.D., engages in computational mathematics.
Supported by:
Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)

摘要/Abstract

摘要： 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.

关键词: investment portfolio, single factor model, branch-and-bound, numerical analysis

Abstract: 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.

Key words: investment portfolio, single factor model, branch-and-bound, numerical analysis

中图分类号:

O221.4

王国欣, 柳静. 组合模型在现实投资交易中的应用[J]. 数学季刊, 2013, 28(1): 33-40.

WANG Guo-xin, LIU Jing. Application of Portfolio Model in the Real Investment Transactions[J]. Chinese Quarterly Journal of Mathematics, 2013, 28(1): 33-40.