标题:
不允许卖空证券组合投资模型的原始–对偶多项式内点算法A Primal-Dual Polynomial Interior Point Method for Portfolio Investment without Short Sale
作者:
田振明, 宋馨雨
关键字:
证券组合, 二次规划, 内点算法Portfolio, Quadratic Programming, Interior Point Method
期刊名称:
《Advances in Applied Mathematics》, Vol.5 No.1, 2016-02-24
摘要:
在分析Markowitz证券组合投资模型最优化解法的基础上，给出了求解不允许卖空证券组合投资模型的原始–对偶多项式内点算法；不同于传统牛顿法的迭代方向，借助一种新的工具寻找搜索方向，并且该算法具有多项式复杂性；用我们给出的算法对不允许卖空证券组合投资模型的实例进行计算求解，数值结果显示该算法是可行有效的。
Based on the optimal approach of Markowitz portfolio investment model, the algorithm of primal- dual polynomial interior point method to the above model was given. We applied this algorithm to solve an example of portfolio investment without short sale. Numerical implementation showed this method was practicable and effective.