论文部分内容阅读
多元化投资组合是投资人或金融机构所持有的股票,债券,金融衍生品等产品的集合,其目的在于保证收益的前提之下,降低投资人可能面临的风险。线性规划是运筹学中研究较早,发展较快的一个分支,主要是研究线性约束条件下目标函数的数学理论和方法。为了能快捷而又有效的区分投资组合的投资价值,文章运用了线性规划方法来对投资组合进行最优化的求解。本文可简单的分为三部分:第一部分介绍了线性规划的数学模型;第二部分讲述了线性规划对于投资组合的意义;第三部分介绍了线性规划在投资组合选择中的实际应用。
A diversified investment portfolio is a collection of products such as stocks, bonds and financial derivatives held by investors or financial institutions with the aim of reducing the risks investors may face under the premise of profitability. Linear programming is an early branch of research in operational research and develops rapidly. It is mainly a mathematical theory and method for studying objective functions under linear constraints. In order to quickly and effectively distinguish the investment value of a portfolio, the article uses a linear programming approach to optimize the investment portfolio. This article can be simply divided into three parts: the first part introduces the mathematical model of linear programming; the second part describes the significance of linear programming for portfolio; the third part introduces the practical application of linear programming in portfolio selection.