不允许卖空下证券投资组合的区间二次规划问题

Abstract

Abstract: Based on the Markowitz M-V theory, interval quadratic programming model of portfolio investment is proposed in this paper. In the case of no short sales of assets, this model is solved by applying approaches to compare any two intervals and introducing acceptability and possibility degree of interval number. Thus uncertainty model of portfolio investment is coverted into certainty quadratic programming model of portfolio investment. In addition, for the solution of interval quadratic programming, three solutions of the model given in this paper are compared with the traditional one.

Key words: portfolio selection, interval number, interval quadratic programming, satisfactory solution

CLC Number:

O221

XU Xiao-ning, HE Feng. Interval Quadratic Programming for the Portfolio Selection without Short-Selling[J]. Chinese Journal of Management Science, 2012, (3): 57-62.

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Interval Quadratic Programming for the Portfolio Selection without Short-Selling

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