鉴于极大熵法因控制参数太大而会遇到数值计算困难的不足(文献[2])以及修正Lagrangian算法(文献[3])在计算中不需要控制参数太大的优点,采用了修正Lagrangian算法求解极小极大证券组合投资模型,并给出了数值算例。数值结果表明只需控制参数足够大,该算法即可求得有效的证券组合投资方案。 In view of the fact that the maximum entropy method suffers from the difficulty of numerical calculation due to too large control parameters (Ref. [2]) and the modified Lagrangian algorithm (Ref. [3]), it does not require too much control parameter in the calculation. Lagrangian algorithm to solve the minimax portfolio investment model, and gives a numerical example. Numerical results show that as long as the control parameters are large enough, the algorithm can find an effective portfolio investment plan.