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含流动性约束及保证金购买的多空投资组合选择模型
  • ISSN号：1003-207X
  • 期刊名称：《中国管理科学》
  • 时间：0
  • 分类：O221[理学—运筹学与控制论;理学—数学] F830.9[经济管理—金融学]
  • 作者机构：[1]四川大学数学学院,四川成都610064, [2]四川大学工商管理学院,四川成都610064
  • 相关基金：国家自然科学基金重点资助项目（70831005）; 中央高校基本科研业务费资助（2009SCU11096）
作者： 刘虹辰[1], 徐玖平[2], 吴萌[2], 黄南京[1]
关键词： 梯形模糊数, 流动性, 可能性均值, 可能性方差, 交易费, 保证金购买, 极大熵, trapezoidal fuzzy number, liquidity, possibilistic mean value, possibilistic variance, transaction costs, marginpurchase, maximum entropy
中文摘要：

本文在基于风险资产的价格服从梯形可能性分布的基础上,引入流动性约束、保证金限制、交易成本和存贷利差等因素,建立了多空投资组合模型。利用非线性规划理论和极大熵方法,给出了求解该模型的一种方法。最后,通过实例验证了主要结果并分析了流动性约束、保证金、交易费和存贷利差等因素对投资组合有效前沿的影响。

英文摘要：

In this paper,by defining the security price as trapezoidal fuzzy number,we establish a long-short portfolio selection model with liquidity constraints,margin,transaction costs and different borrowing and lending interests.By using the theory of nonlinear programming and maximum entropy methods,we give an algorithm to solve this model.Finally,an example is given to illustrate our main results and analysis of the interaction of the portfolio efficient frontier with liquidity constraints,margin,transaction costs and different borrowing and lending interests.

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期刊信息
  • 《中国管理科学》
  • 中国科技核心期刊
  • 主管单位:中国科学院
  • 主办单位:中国优选法统筹法与经济数学研究会 中科院科技政策与管理科学研究所
  • 主编：蔡晨
  • 地址：北京海淀区中关村北一条15号（北京8712信箱）
  • 邮编：100190
  • 邮箱：zgglkx@casipm.ac.cn
  • 电话：010－62542629
  • 国际标准刊号：ISSN：1003-207X
  • 国内统一刊号：ISSN：11-2835/G3
  • 邮发代号:82-50
  • 获奖情况:
  • 国内外数据库收录:
  • 日本日本科学技术振兴机构数据库,中国中国人文社科核心期刊,中国中国科技核心期刊,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）
  • 被引量:25352