| 二次效用极大的证券组合优化模型及算法 |
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| 引用本文： | 张卫国.二次效用极大的证券组合优化模型及算法[J].宁夏师范学院学报,1997,18(6):6-10. |
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| 作者姓名： | 张卫国 |
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| 作者单位： | 宁夏教育学院数学系 银川，750002 |
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| 摘 要： | 本文建立了二次效用极大的证券组合优化模型，研究了各种优化模型的算法，得到了最好证券组合的期望收益率，风险，期望效用及投资比例计算公式。
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| 关 键 词： | 证券组合 二次效用 凸规划 优化模型 算法 |
OPTIMIZATION COMBINATION MODEL OF PORTFOLIO WITH THE MAXIMUM QUADRATIC UTILITY AND ITS CALCULATION METHOD. |
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| Zhang Weiguo.OPTIMIZATION COMBINATION MODEL OF PORTFOLIO WITH THE MAXIMUM QUADRATIC UTILITY AND ITS CALCULATION METHOD.[J].Journal of Ningxia Teachers College,1997,18(6):6-10. |
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| Authors: | Zhang Weiguo |
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| Abstract: | This paper sets up the optimal portfolio model with the maximum quadratic utility. It studies the optimization model's solution method and obtains the calculation formulae for the expected rate of return, the rise,the expected utility and the investment proportion. |
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| Keywords: | Portfolio Expected rate of return Risk Quadratic utility Convex programming |
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