检索结果-内蒙古大学图书馆

International Conference on Computational Intelligence and Natural Computing

作者： Liu, Yanwu Zhang, Zhongzhen Wuhan Univ Technol Sch Management Wuhan 430070 Peoples R China

ISBN: (纸本)9780769536453

Portfolio optimization is an important branch to which optimization methods are applied. Transaction costs have significant influence on portfolio rebalancing in practice. The introduction of transaction costs into optimal rebalancing model significantly enlarges the size of optimization problem and need more efficient algorithms. We deduce the relationships between the Karush-Kuhn-Tucker (KKT) conditions of the original model and those of its sub-problem. pivoting algorithm can make full use of these relationships to obtain the optimal solution for the original model efficiently from that for its subproblem.

关键词： transaction costs pivoting algorithm portfolio optimization optimal rebalancing

来源：评论

学校读者我要写书评

暂无评论

A NEW pivoting algorithm FOR THE LINEAR COMPLEMENTARITY-PROBLEM ALLOWING FOR AN ARBITRARY STARTING POINT

引用

MATHEMATICAL PROGRAMMING 1994年第2期63卷 235-252页

作者： KREMERS, H TALMAN, D 1. Department of Econometrics Tilburg University P.O. Box 90153 5000 LE Tilburg Netherlands

The linear complementarity problem is to find nonnegative vectors which are affinely related and complementary. In this paper we propose a new complementary pivoting algorithm for solving the linear complementarity problem as a more efficient alternative to the algorithms proposed by Lemke and by Talman and Van der Heyden. The algorithm can start at an arbitrary nonnegative vector and converges under the same conditions as Lemke's algorithm.

关键词： LINEAR COMPLEMENTARITY PROBLEM pivoting algorithm STATIONARY POINT PROBLEM

来源：评论

学校读者我要写书评

暂无评论

pivoting algorithm for Optimization Model of Portfolio Rebalancing with Transaction Costs

Pivoting Algorithm for Optimization Model of Portfolio Rebal...

引用

2009 International Conference on Computational Intelligence and Natural Computing(CINC 2009)

作者： Yanwu LIU School of Management, Wuhan University of Technology, Wuhan, P. R. China,430070,Zhongzhen ZHANG School of Management, Wuhan University of Technology, Wuhan, P. R. China,430070

关键词： transaction costs pivoting algorithm portfolio optimization optimal rebalancing

来源：评论

学校读者我要写书评

暂无评论

pivoting in Linear Complementarity: Two Polynomial-Time Cases

引用

DISCRETE & COMPUTATIONAL GEOMETRY 2009年第2期42卷 187-205页

作者： Foniok, Jan Fukuda, Komei Gaertner, Bernd Luethi, Hans-Jakob ETH Inst Theoret Comp Sci CH-8092 Zurich Switzerland ETH Inst Operat Res CH-8092 Zurich Switzerland

We study the behavior of simple principal pivoting methods for the P-matrix linear complementarity problem (P-LCP). We solve an open problem of Morris by showing that Murty's least-index pivot rule (under any fixed index order) leads to a quadratic number of iterations on Morris's highly cyclic P-LCP examples. We then show that on K-matrix LCP instances, all pivot rules require only a linear number of iterations. As the main tool, we employ unique-sink orientations of cubes, a useful combinatorial abstraction of the P-LCP.

关键词： Linear complementarity pivoting algorithm P-matrix K-matrix Computational complexity Unique-sink orientation

来源：评论

学校读者我要写书评

暂无评论

AN algorithm FOR THE LINEAR COMPLEMENTARITY-PROBLEM WITH UPPER AND LOWER BOUNDS

引用

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 1989年第1期62卷 151-163页

作者： VANDERLAAN, G TALMAN, AJJ TILBURG UNIV DEPT ECONOMETR5000 LE TILBURGNETHERLANDS

In this paper, we adapt the octahedral simplicial algorithm for solving systems of nonlinear equations to solve the linear complementarity problem with upper and lower bounds. The proposed algorithm generates a piecewise linear path from an arbitrarily chosen pointz ⁰ to a solution point. This path is followed by linear programming pivot steps in a system ofn linear equations, wheren is the size of the problem. The starting pointz ⁰ is left in the direction of one of the 2ⁿ vertices of the feasible region. The ray along whichz ⁰ is left depends on the sign pattern of the function value atz ⁰. The sign pattern of the linear function and the location of the points in comparison withz ⁰ completely govern the path of the algorithm.

关键词： Linear complementarity problem pivoting algorithm arbitrary starting point

来源：评论

学校读者我要写书评

暂无评论

Optimization of the Expected Utility Portfolio Selection Model with Box Constraints

Optimization of the Expected Utility Portfolio Selection Mod...

引用

International Conference on Advanced Research on Computer Science and Information Engineering

作者： Zhang, Peng Yu, Lang Wuhan Univ Sci & Technol Sch Management Wuhan 430081 Peoples R China

ISBN: (纸本)9783642214103

A new expected utility (EU) portfolio selection model is proposed under the assumption that the trading volume has the box constraints. In the model, the expected utility function is quadratic. The model is solved by a pivoting algorithm which needn't be added any slack, surplus and artificial variable, and is easy to operate and works efficiently. A numerical example of a portfolio selection problem is given to compare the new model and the EU portfolio selection model not considering upper bounds. The comparison shows that when the risk preference coefficient is greater than a critical value, the risk and expected return don't increase as the coefficient increases;The relationship between the risk preference coefficient and the expected return (or risk) is nonlinear while that is linear in the case when short sales are allowed;the efficient portfolio selection considering the box constraints is subset of that not considering the constraints.

关键词： Portfolio selection Utility pivoting algorithm The box constraints

来源：评论

学校读者我要写书评

暂无评论

A Fast algorithm for Linearly Constrained Quadratic Programming Problems with Lower and Upper Bounds

A Fast Algorithm for Linearly Constrained Quadratic Programm...

引用

International Conference on MultiMedia and Information Technology

作者： Liu, Yanwu Mang, Zhongzhen Wuhan Univ Technol Sch Management Wuhan 430070 Peoples R China

ISBN: (纸本)9780769535562

There are many applications related to linearly constrained quadratic programs subjected to upper and lower bounds. Lower bounds and upper bounds are treated as different constraints by common quadratic programming algorithms. These traditional treatments significantly increase the computation of quadratic programming problems. We employ pivoting algorithm to solve quadratic programming models. The algorithm can convert the quadratic programming with upper and lower bounds into quadratic programming with upper or lower bounds equivalently by making full use of the Karush-Kuhn-Tucker (KKT) conditions of the problem and decrease the computation. The algorithm can further decrease calculation to obtain solution of quadratic programming problems by solving a smaller linear inequality system which is the linear part of KKT conditions for the quadratic programming problems and is equivalent to the KKT conditions while maintaining complementarity conditions of the KKT conditions to hold.

关键词： pivoting algorithm Karush-Kuhn-Tucker conditions quadratic programming lower and upper bounds

来源：评论

学校读者我要写书评

暂无评论

Higher-order Nonlinear Discrete Approximate Iteration On the Continuing Dynamic Programming

Higher-order Nonlinear Discrete Approximate Iteration On the...

引用

2nd International Conference on Industry, Information System and Material Engineering (IISME 2012)

作者： Zhang, Peng Zhou, Jingyi Wuhan Univ Sci & Technol Sch Management Wuhan 430081 Peoples R China

ISBN: (纸本)9783037853566

In order to solve the "dimension curse" and higher-order nonlinear, the paper proposes the discrete approximate iteration, and uses it to solve the continuum dynamic programming. Firstly, according to the network method, discretizes the state variables and transforms the model into multiperiod weighted digraph. Secondly, uses the max-plus algebra to solve the minimal path that is the admissible solution. At last, based on the admissible solution, we continues iterating until the two admissible solution is near. The paper also proves the convergence of the method.

关键词： Dynamic programming Discrete approximate iteration The max-plus algebra pivoting algorithm

来源：评论

学校读者我要写书评

暂无评论

The Optimization on the Expected Utility Portfolio Selection Model Without Short Sales

The Optimization on the Expected Utility Portfolio Selection...

引用

International Conference on Automation, Communication, Architectonics and Materials

作者： Zhang, Peng Wang, Huili Wuhan Univ Sci & Technol Sch Management Wuhan 430081 Peoples R China

ISBN: (纸本)9783037851036

A new expected utility (EU) portfolio selection model without short sales is proposed. In the model, the expected utility function is quadratic. The model is solved by the pivoting algorithm. The paper showed in the EU portfolio selection model without the short sales, the relationship between the risk preference coefficient and the expected return is not linear but more complex. The risk preference coefficient could just reflect the investors' preference in some intervals. We wrote program to calculate the optimal portfolios with the different coefficient. Investors could choose the optimal investment strategy according to both their own risk preference and the expected return of the portfolio.

关键词： Portfolio selection Utility pivoting algorithm Without short sales

来源：评论

学校读者我要写书评

暂无评论

An Efficient and Concise algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model

引用

Technology and Investment 2011年 2卷 229-239页

作者： Zhongzhen Zhang Huayu Zhang

This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.

关键词： Convex Quadratic Programming Mean-Variance Portfolio Selection Model pivoting algorithm

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：