证券投资组合模型及其应用

摘要

Portfolio problem widely exists in financial,risk investment and other fields. Respectively in the total investment and selective investment portfolio is mainly studied from two kinds of situation scheme selection problem. For total investment,a multi-objective pro-gramming model is established and used in the process of solving the ideal point is transformed into linear programming model,using the LINGO software to solve the optimal investment proportion. On the latter,in this paper,introduce a 0-1 distributed parameters,the gener-al situation to solve. Through a practical example to illustrate the use of the above methods,and the model is improved and promoted.%证券投资组合问题广泛存在于金融、风险投资等多个领域。文中分别在全部投资和选择性投资两种场合下重点研究了证券投资组合方案选择问题。对于全部投资而言，文中建立起了多目标规划模型并在求解过程中采用理想点法将其转化为线性规划模型，利用LINGO软件求解出最佳投资比例。对于后者，文中通过引入一个服从0-1分布的参数，将其化为一般情况求解。通过一个实例以说明上述方法的应用，并对模型进行了改进与推广。