带工业约束和交易费用的离散投资组合最优化

上海大学学报(自然科学版)

带工业约束和交易费用的离散投资组合最优化

王国欣，沈秋英，孙小玲

上海大学理学院,上海 200444

收稿日期:2006-10-24 修回日期:1900-01-01 出版日期:2007-12-20 发布日期:2007-12-20
通讯作者: 孙小玲

Discrete Portfolio Optimization with Industry Constraints -and Transaction Cost

WANG Guo-xin,SHEN Qiu-ying,SUN Xiao-ling

School of Sciences, Shanghai University, Shanghai 200444， China

Received:2006-10-24 Revised:1900-01-01 Online:2007-12-20 Published:2007-12-20
Contact: SUN Xiao-ling

摘要/Abstract

摘要：

该文研究带有工业约束和凹的交易费函数的离散单因素投资组合模型.与传统的投资组合模型不同的是,该模型中投资组合的决策变量是交易手数(整数),其最优化模型是一个非线性整数规划问题.为此提出了一个基于拉格朗日松弛和连续松弛的混合分枝定界算法,而且分别采用股票市场的真实数据和随机产生的数据来测试该算法的有效性.

关键词: 单因素模型, 分枝定界法, 交易费, 金融优化, 拉格朗日松弛, 连续松弛

Abstract:

We consider the discrete single-factor portfolio selection model with industry constraints and concave transaction cost. This model is a nonlinear integer programming problem. A hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation is proposed for this model. Computational experiments are carried out with data both from the realworld stock market and generated randomly.

Key words: branch-and-bound method

, continuous relaxation, Lagrangian relaxation, singlefactor model, transaction cost,

portfolio optimization

王国欣;沈秋英;孙小玲. 带工业约束和交易费用的离散投资组合最优化[J]. 上海大学学报(自然科学版).

WANG Guo-xin;SHEN Qiu-ying;SUN Xiao-ling. Discrete Portfolio Optimization with Industry Constraints -and Transaction Cost[J]. Journal of Shanghai University（Natural Science Edition）.

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[2]	盛红波;孙娟;孙小玲. 0-1多项式背包问题的一种精确算法[J]. 上海大学学报(自然科学版), 2006, 12(4): 389-393 .