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含交易成本和机会成本的极小极大多期投资组合选择模型
  • ISSN号：1000-6788
  • 期刊名称：系统工程理论与实践
  • 时间：0
  • 页码：11-19
  • 分类：F830.9[经济管理—金融学] O221[理学—运筹学与控制论;理学—数学]
  • 作者机构：[1]四川大学数学学院,成都610064, [2]四川大学工商管理学院,成都610064
  • 相关基金：国家自然科学基金（70831005,71101099）;中央高校基本科研业务费（2009SCU11096）
  • 相关项目：大型水利水电工程建设项目集成管理理论与方法研究
作者： 任大源|徐玖平|黄南京|吴萌|
关键词： 投资组合, 极小极大, 机会成本, 交易费用, 凸优化, portfolio selection, minimax, opportunity costs, transaction costs, convex optimization
中文摘要：

本文考虑了摩擦市场下的多期证券投资组合选择问题，利用极小极大原理，建立了在含有机会成本和交易成本的多期极小极大投资组合选择模型．利用非线性规划相关理论，证明了该模型最优解的存在性，并利用凸规划相关理论与Kuhn—Tucker条件给出了求解该模型的一种方法，最后通过实例对结论进行了说明．

英文摘要：

This paper deals with a multi-period portfolio selection problem in the frictional market： A multi-period minimax portfolio selection model with opportunity costs and transaction costs is proposed. By using the theory of nonlinear programming, we prove the existence of optimal solution of this model. Moreover, the method for solving this model is given by using the theory of convex programming and Kuhn-Tucker condition. Finally, a numerical example is given to illustrate our results.

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期刊信息
  • 《系统工程理论与实践》
  • 中国科技核心期刊
  • 主管单位:中国科学技术协会
  • 主办单位:中国系统工程学会
  • 主编：汪寿阳
  • 地址：北京市海淀区中关村东路55号
  • 邮编：100190
  • 邮箱：xtll@chinajournal.net.cn
  • 电话：010-82541407
  • 国际标准刊号：ISSN：1000-6788
  • 国内统一刊号：ISSN：11-2267/N
  • 邮发代号:2-305
  • 获奖情况:
  • 第三届中国出版政府奖提名奖
  • 国内外数据库收录:
  • 荷兰文摘与引文数据库,美国工程索引,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,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）,中国国家哲学社会科学学术期刊数据库,中国北大核心期刊（2000版）
  • 被引量:56095