一類組合投資分析與應(yīng)用.pdf

1、哈爾濱工程大學(xué)碩士學(xué)位論文一類組合投資分析與應(yīng)用姓名：楊成艷申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：施久玉20090501哈爾濱T程大學(xué)碩十學(xué)位論文AbstraetTransactionmarketofChinassecuritiesiSdifferentfromforeignsecuritiesmarketsConsequently，foreignportfolioinvestmentmodelcallnotbedirectlyap

2、pliedtoChinassecuritiesmarketThispaperinviewofthis，considersaclassoflimitingshortsellingmodelwiththeproportionoftransactioncosts，minimumtransactionunitsandofcapitalconstraintsaccordingtothecharacteristicofChina。ssecuriti

3、esmarketonthebasisofportfolioinvestmenttheoreticalanalysisThispaperbyanalyzingtheMarkowitzportfoliotheoryanditscorrespondingmodels，derivesthreemodels，whichismoresuitableforCllinassecuritiesmarket，asfollows：(1)Theriskmini

4、mizationportfoliomodel州thlimitedshortselling，proportionoftransactioncosts，minimaltransactionunitconstraintsandlimitedcapital；(2)nleprofitmaximizationportfoliomodel、Ⅳithlimitedshortselling，proportionoftransactioncosts，min

5、imaltransaetionunitconstraintsandlimitedcapital；(3)moptimizationportfoliomodel謝tlllimitedshortselling，proportionoftransactioncosts，minimaltransactionunitconstraintsandlimitedcapitalOneofthethreemodelsaboveCanbechosentosa

6、tisfydifferentofneedsofallinvestorsThenthispaperusesgeneticalgorithm(GA)tostudythemodelsolutionsByuseofGA，twomainproblemscometothispaperOnonehand，designabouttheencodinganddecodingofsolution；ontheotherhand，designthefitnes

7、sfunctionsofthemodels，whichcaIlguaranteethesolutionstobethemaximumsofthefunctionswhilemeetalltheconditionsinfutureFinally，numericalexamplesofthedataconfirmthevalidityoftheproposedmodelsKeywords：portfolioinvestment；geneti