共查询到20条相似文献，搜索用时 125 毫秒
1.
In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Com-putational results are reported for test problems with the data randomly generated and those from the US stock market. 相似文献
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This paper proposes a multi-period portfolio investment model with class constraints, transaction cost, and indivisible securities. When an investor joins the securities market for the first time, he should decide on portfolio investment based on the practical conditions of securities market. In addition, investors should adjust the portfolio according to market changes, changing or not changing the category of risky securities. Markowitz mean-variance approach is applied to the multi-period portfolio selection problems. Because the sub-models are optimal mixed integer program, whose objective function is not unimodal and feasible set is with a particular structure, traditional optimization method usually fails to find a globally optimal solution. So this paper employs the hybrid genetic algorithm to solve the problem. Investment policies that accord with finance market and are easy to operate for investors are put forward with an illustration of application. 相似文献
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Traditional portfolio theory assumes that the return rate of portfolio follows normality ,However,this assumption is not true when derivative assets are incorporated,In this paper a portfolio selection model is devel-oped based on utility function which can captue asymmetries in random variable distributions.Other realistic conditions are also considered ,such as liabilities and integer decision variables,Since the resulting model is a complex mixed-integer nonlinear programming problem ,simulated annealing algorithm is applied for its solution.A numerical example is given and sensitivity analysis is conducted for the model. 相似文献
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In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities. 相似文献
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给出了整数可分离凹规划问题的一个线性规划松弛定界算法,该算法中的分枝过程是简单的整矩形二剖分过程,定上界是简单的启发式方法,而定下界过程需要解一个线性规划松弛问题来确定的,数值实验表明所提出的算法是有效的,它可以求解中等规模的问题. 相似文献
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1IntroductionWe consider the following multi-di mensional nonlin-ear knapsack problem(MNKP)maxf(x)=∑nj=1fj(xj)s.t.gi(x)=∑nj=1gij(xj)≤bi,i=1,…,m,x∈X={x|lj≤xj≤uj,xjinteger,j=1,…,n},where allfjand allgijare nondecreasing functions ofxjon[lj,uj]forj=1,…,n,i=1,…,m,andljandujare integer lower and upper bounds forxj,re-spectively,j=1,…,n.It has been proved that0-1linear knapsack problemis NP-hard[1].Nonlinear knapsack problems have numerous appli-cations in various fields,for example,ca… 相似文献
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Genetic algorithms (GAs) employ the evolutionary process of Darwin's nature selection theory to find the solutions of optimization problems. In this paper, an implementation of genetic algorithm is put forward to solve a classical transportation problem, namely the Hitchcock's Transportation Problem (HTP), and the GA is improved to search for all optimal solutions and identify them automatically. The algorithm is coded with C and validated by numerical examples. The computational results show that the algorithm is efficient for solving the Hitchcock's transportation problem. 相似文献
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引入非凹非凸的典型交易成本函数形式，考虑分红收益提出含有典型交易成本的组合投资问题的目标规划模型，通过实例对模型中无交易成本、含有V-型交易成本、典型交易成本时所得的有效前沿进行比较，并分析了不同期望收益水平对投资组合的影响． 相似文献
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对多目标证券组合投资模型进行了研究，模型以风险损失率作为风险。该模型是一多目标线性优化问题．我们采用模糊折衷算法对模型进行了求解，算例给出了该模型的一个实例的最优解。 相似文献
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蔡雷 《内江师范学院学报》2005,20(4):11-13,54
针对贷款组合优化决策模型的求解问题，以模拟退火算法为基础，利用设置记忆器和在算法后链接一个局部搜索过程的方法，对原有算法进行了改进，该算法可兼顾解的质量和运行时间，快速找到最优解，克服了原有算法的随机性。数值计算的结果表明，该算法具有很强的适用性。 相似文献
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财产保险公司的投资组合模型均是单期的 ,不能充分满足投资组合管理实践的需要 .为提供多期规划工具 ,建立了一个多阶段的随机规划模型 .它考虑了交易成本 ,分析了不同时期的现金流 ,讨论了资产负债的匹配问题 ,去掉了收益分布的正态假定 ,并增加了一种投资约束 .数值实例的计算结果表明 ,多期模型能更好地帮助财产保险公司选择保险与投资的优化组合 ,其性能要优于单期模型 相似文献
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随着指数衍生产品日益受到重视,指数化投资组合常被传统的消极基金管理者或机构所采用,而用有限的资金按指数构成比例进行投资显然是不现实的,所以指数的最优误差追踪就显得更加重要。将追踪误差定义为证券投资组合收益率与所追踪的指数基准收益率之差的均值平方和的平方根,建立了基数约束（即总资产数不超过某个特定整数K）下考虑投资者损失规避决策偏好的跟踪误差最小化模型,并设计了一个粒子群算法求解模型。实际算例表明,所构建的模型和算法是有效的。 相似文献
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WANG Wei-xiang SHANG You-lin ZHANG Lian-sheng 《浙江大学学报(A卷英文版)》2006,7(12):2083-2087
INTRODUCTION Considering the following nonlinear integer programming problem: (PI) min f(x), s.t. x∈XI, (1) where XI?In is a bounded and closed box set con- taining more than one point, In is the set of integer points in n . If we suppose that f(x) satisfies the following conditions: if x∈XI, then f(x)=f(x), otherwise f(x)= ∞, then Problem PI is equal to the following nonlinear integer programming problem (UPI) min f(x), s.t. x∈In. (2) The formulation in PI allows the set XI t… 相似文献
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基于可信性理论和两阶段模糊优化方法,提出一类新的模糊生产计划模型．同时设计一个基于模糊模拟和遗传算法的启发式算法来求解模糊生产计划问题,并且给出一个数值例子来证明所提出算法的可行性． 相似文献
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In this paper, a new method named as the gradually descent method was proposed to solve the discrete global optimization problem. With the aid of an auxiliary function, this method enables to convert the problem of finding one discrete minimizer of the objective function f to that of finding another at each cycle. The auxiliary function can ensure that a point, except a prescribed point, is not its integer stationary point if the value of objective function at the point is greater than the scalar which is chosen properly. This property leads to a better minimizer of f found more easily by some classical local search methods. The computational results show that this algorithm is quite efficient and reliable for solving nonlinear integer programming problems. 相似文献
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INTRODUCTION We consider the following nonlinear integerprogramming problem (PI) minf(x), s.t. x∈XI (1)where XI?In is a bounded and closed box set con-taining more than one point; In is the set of integerpoints in Rn. Notice that the formulation in (PI) allows the setXI to be defined by equality constraints as well asinequality constraints. Furthermore, when f(x) is co-ercive, i.e., f(x) → ∞ as ||x||→∞, there always exists abo… 相似文献
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设计了一种求非线性整数规划全局最小解的算法.首先,利用改进的遗传算法快速找到初始的离散局部极小解;其次,把该离散局部极小解作为初始点,用所设计的局部搜索算法极小化填充函数去寻找一个更好的局部极小解,并且通过有限次迭代,最后得到全局最小解.数值实验表明该算法是有效的. 相似文献
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对神经网络在评券投资管理三个阶段 :变量选择、收益预测、证券组合方面的应用进行了分析 .在此基础上 ,着重对不允许卖空情况下预期收益固定、风险最小的证券最优组合的投资比例系数的求解提出了一种确定性模拟退火神经网络的解法 .最后 ,通过实例验证了模型的有效性 相似文献
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本文讨论了基于路段流量的交通分配问题,指出其最优解是满足wardrop平衡条件的。对这类问题本文采用了遗传算法,并给出了算法的基本思想及详细的实现过程。数值实验表明该方法是可行有效的,可以用于实际交通路网的配流计算。 相似文献