运筹与管理Issue(2)：165-171,7.
手数约束和凹交易费下的离散投资组合模型及算法
Discrete Portfolio Selection Model and Algorithm under Roundlot Constraint and Concave Transaction Costs
摘要
Abstract
Given a discrete portfolio selection model with roundlot constraint and concave transaction costs , we propose an exact algorithm for solving the model .The algorithm is of branch-and-bound method based on La-grangian relaxation and subgradient dual search .To test the effectiveness of the algorithm , we carry out numeri-cal experiments with randomly-generated data.For its application, this paper tests empirically the model with da-ta from CSI300 Index and compares the computational results with those from the discrete portfolio selection mod -el under non-transaction costs.The numerical analysis indicates that the proposed method can give portfolio strat -egy of the model within a reasonable time and is efficient for solving small -to-medium scale discrete portfolio se-lection problems.关键词
运筹学/投资组合策略/分枝定界算法/拉格朗日对偶Key words
operational research/portfolio strategy/branch-and-bound algorithm/Lagrangian dual分类
数理科学引用本文复制引用
张世涛..手数约束和凹交易费下的离散投资组合模型及算法[J].运筹与管理,2013,(2):165-171,7.基金项目
国家自然科学基金资助项目（70671064）；安徽工业大学青年科研基金资助项目 （）
