%0 Journal Article
%T A Pivoting Based Algorithm for Self-Financing Mean Variance Portfolio Model<br>自融资均值方差投资组合模型的旋转算法
%A CHEN Tie-ying~
%A ZHANG Zhong-zhen~
%A <br>陈铁英
%J 系统工程理论与实践
%D 2004
%I 
%X The self-financing portfolio problem is formulated as a convex quadratic programming where the variance risk of portfolio is minimized. It is solved by a pivoting based algorithm for the system of linear inequalities by solving the linear part of Kuhn-Tucker conditions while maintaining complementarity conditions.
%K Self-financing portfolio
%K mean-variance model
%K convex quadratic programming
%K pivoting algorithm<br>自融资投资组合
%K 均值方差模型
%K 凸二次规划
%K 旋转算法
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=8E5741A8FE69496F&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=B31275AF3241DB2D&sid=10F298ED9F164662&eid=89F76E117E9BDB76&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=3&reference_num=4