英文标题：
《Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion
  among Multiple Assets》
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作者：
Yiran Sheng, Ruokun Huang
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最新提交年份：
2013
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英文摘要：
  This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based methodology with market information as input parameters to carry out the solution. Two main features of this article are: first, we take the no short-sell constraint in Chinese stock market into consideration and use an approach otherwise identical to Markowitz to work out the optimal portfolio choice; this method has critical and practical implication to Chinese investors. Second, we incorporate the benefits of multiple assets into one single well-defined utility function and use a MIQP procedure to derive the optimal allocation of funds upon each of them along the time-line.
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中文摘要：
本文是本课程的学期论文。我们主要关注典型效用最大化个体的长期投资决策建模，并结合中国股市的特点。我们采用基于OR的方法，以市场信息作为输入参数来执行解决方案。本文的两个主要特点是：首先，我们考虑了中国股市的无卖空约束，并使用与Markowitz相同的方法来计算最优投资组合选择；该方法对中国投资者具有重要的现实意义。第二，我们将多个资产的收益合并到一个定义良好的效用函数中，并使用MIQP程序推导出沿时间线在每个资产上的最优资金分配。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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