摘要
鉴于均值-方差模型求解二次规划问题的复杂性,且实证表明方差不一定存在[1].用组合证券收益的平均绝对离差作为风险,考虑到收益最大与风险最小,建立数学模型,研究含有交易费的证券组合投资问题,并给出了算法.
In view of the complexity of the calculation in traditional MV model, and in reality, the existence of variance is plausible. The absolute - deviation is defined as variance. To obtain maximal income and minimal risk, mathematic model is established, corresponding example is presented and settled.
出处
《河南教育学院学报（自然科学版）》
2005年第3期20-22,共3页
Journal of Henan Institute of Education(Natural Science Edition)
关键词
证券组合投资
交易费
绝对离差
portfolio investment
transaction costs
absolute - deviation
