基于矩阵值因子算法的企业年金投资组合建模与并行求解

杜首燕,陆忠华

Modeling and Parallel Computed Enterprise Annuity Portfolio Based on Matrix-Valued Factor Algorithm

Du Shouyan,Lu Zhonghua

表3 基于矩阵值因子算法的均值-方差优化模型的CVXOPT求解

Table 3 CVXOPT solution of the mean-variance optimization model based on matrix-valued factor algorithm

期望收益率 0.006 0.01 0.014 最好方差 6.56612*10-3 6.56613*10-3 6.5661*10-3 均值方差 1.09250010*10-2 1.09249017*10-2 1.09247694*10-2 均值收益率 3.694818*10-4 3.694517*10-4 3.647442*10-4