复合免疫组合策略及其旋转算法

本文介绍了免疫组合策略的基本原理,讨论了免疫组合策略的一般模型,分析了传统免疫组合策略的不足之处。在此基础上,应用资产组合选择理论的思想,提出了复合免疫组合策略这一概念及其模型,并将复合免疫组合模型转化成能用旋转算法有效求解的一般形式,从而能将复合免疫组合策略有效地应用于指导金融实务。

Cross Immunization And Its Pivoting Algorithm

First this paper introduces the basic principles and the common model of traditional immunization strategy,and analyzes its deficit Then,presents the perception of cross immunization and its general model according to portfolio selection theory,and turns the model of cross immunization equivalently into a set of linear inequalities which can be efficiently solved by the pivoting algorithm. So cross immunization can be applied easily and directly to financial practice.