【作者】 邵全； 吴祈宗；

【Author】 Shao quan, Wu Qizong( School of Management and Economy, Beijing Institute of Technology, Beijing 100081, China; School of Science, Shenyang University of Technology,Shenyang 110023, China)

【机构】 北京理工大学管理与经济学院；

【摘要】 在Markowiz的均值一方差模型基础上,提出了两个随机规划下的投资组合模型。一是基于机会约束规划的投资组合模型:投资者要求在实际收益以一定的概率α不小于某一个收益目标的前提下,使该收益目标达到最大。二是基于相关机会规划模型:投资者首先确定一个收益目标,然后寻找证券组合以最大概率实现目标。更多还原

【Abstract】 This paper gives two models of portfolio selection based on model of mean-variance. In portfolio selection model based on chance constrained programming, we maximize expected return such that the probability of the total return rate is not smaller than expected return is at least . In portfolio selection model based on dependent-chance programming, we maximize the probability of the event that the total return rate is not smaller than a predetermined value.更多还原