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发表时间：2012-01-01

发表刊物：系统工程

所属单位：经济管理学院

卷号：30

期号：4

页面范围：32-38

ISSN号：1001-4098

摘要：In this paper,a semi-variance as a risk measure is used to set up a bond
   portfolio model in order to research a problem of the bank investment in
   bond.We analyze the existence of the optimal solution to the model,and
   prove that the solution is a global solution to the model.Moreover,a
   Monte Carlo penalty function algorithm is constructed to get the optimal
   portfolio policies via the random attribute of the model,and prove the
   convergence of the algorithm.The corresponding numerical examples are
   given to illustrate the validity of the model.

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