| 遗传算法研究证券组合投资的有效边界 |
| |
| 引用本文： | 黄旭阳.遗传算法研究证券组合投资的有效边界[J].厦门大学学报(自然科学版),1999,38(2):199-203. |
| |
| 作者姓名： | 黄旭阳 |
| |
| 作者单位： | 厦门大学自动化系,厦门,361005 |
| |
| 摘 要： | 基于遗传算法，搜索了证券组合投资中不同风险约束下的最优收益率的大小，实证研究了证券市场证券组合的有效边界曲线．另外给出了不同证券组合可能导致的组合风险和组合收益率的上下限．文中采用适当的方法，对原始数据进行预处理．
|
| 关 键 词： | 有效边界，风险，收益率，遗传算法 |
Study on the Efficient Frontier in Portfolio Investment by Using Genetic Algorithms |
| |
| Huang Xuyang.Study on the Efficient Frontier in Portfolio Investment by Using Genetic Algorithms[J].Journal of Xiamen University(Natural Science),1999,38(2):199-203. |
| |
| Authors: | Huang Xuyang |
| |
| Abstract: | Based on genetic algorithms, the optimum return rates under the restrain of given risk level are searched. Some results for the efficient frontier are presented, and the maximal (or minimal) value of risk and return rate in portfolio investment are given. Some proper methods are used in the original stock data pre processing. |
| |
| Keywords: | Efficient frontier Risk Return rate Genetic algorithms |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
