| Markowitz's证券组合投资决策模型的有效集解法 |
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| 引用本文： | 田振明. Markowitz's证券组合投资决策模型的有效集解法[J]. 价值工程, 2007, 26(12): 160-163 |
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| 作者姓名： | 田振明 |
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| 作者单位： | 广州中医药大学经济与管理学院,广州,510006 |
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| 基金项目： | 广州中医药大学人文社科类研究基金资助项目（NO.0626）. |
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| 摘 要： | 在分析Markowitz's证券组合投资模型最优解方法的基础上,给出了求解Markowitz's证券组合投资模型的有效集法。用该方法对一个具体实例的允许卖空情形与不允许卖空情形分别进行计算求解。实例的数值计算结果,显示该方法是可行有效的。
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| 关 键 词： | 证券组合投资 二次规划 有效集法 |
| 文章编号： | 1006-4311（2007）12-0160-03 |
The Active Set Method to Markowitz's Portfolio Investment Decision Model |
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| Tian Zhenming. The Active Set Method to Markowitz's Portfolio Investment Decision Model[J]. Value Engineering, 2007, 26(12): 160-163 |
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| Authors: | Tian Zhenming |
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| Abstract: | Based on the optimal approach of Markowitz's portfolio investment model,the algorithm of active set method to the above model was given.We applied this algorithm to solve an example with short sale and without short sale.Numerical implementation showed this method is practicable and effective. |
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| Keywords: | portfolio investment quadratic programming active set method |
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