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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (1): 24-27.

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Solving Optimal Portfolio Selection Problem with Short Sale via Interior Point Methods

YANG Guo-liang, HUANG Si-ming   

  1. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China
  • Received:2003-05-09 Revised:2003-12-17 Online:2004-02-28 Published:2012-03-07

Abstract: This paper studies mainly the solution of Optimal Portfolio Selection Problem with the permission of short sale via Interior Point Methods.In real economic activities,short sale is widely used by some investors especially in western world.We solve the quadratic programming problems with no constraints about short sale via interior point methods.Furthermore,we obtain the graph expressing the relations between coefficient A and utility,in which the investor with maximum utility can be found.

Key words: utility, interior point method, preference

CLC Number: