【摘要】 以沪市三支股票历史整月的收盘价作为研究对象,采用一种光滑化的方法近似地将投资组合问题中的极小极大模型转化为一类可微的经典规划模型,并给出相应的误差分析,以便利用改进的梯度投影算法得出最优投资组合。研究结果表明,这种算法运行稳定并在实证中得出相对精确的结果。更多还原

【Abstract】 This paper collects history closing prices of three stocks of Shanghai in a month as the object of study.The minimax model for portfolio selection problem is approximately transformed into a class of differentiable classical optimization model by a smoothing method,and then the error analysis is given in order to take advantage of the improved gradient projection method for optimal portfolio.The results show that this algorithm has a stable operation and draws a relatively precise empirical result.更多还原