| 基于遗传算法的高阶矩投资组合模型研究 |
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| 引用本文： | 杨建辉,林日冀. 基于遗传算法的高阶矩投资组合模型研究[J]. 河南科学, 2014, 0(5): 697-702 |
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| 作者姓名： | 杨建辉 林日冀 |
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| 作者单位： | [1]华南理工大学工商管理学院,广州510640 [2]华南理工大学经济与贸易学院,广州510640 |
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| 基金项目： | 国家自然科学基金资助项目（71073056） |
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| 摘 要： | 金融资产收益数据普遍具有非对称和尖峰厚尾的分布,传统的马克维茨投资组合模型仅仅考虑了均值和方差的约束,这在确定投资组合时是不充分的.考虑了三阶矩偏度和四阶矩峰度对投资组合的影响,假定交易费用为V-型函数,建立了均值-方差-偏度-峰度投资组合模型,鉴于多目标优化求解的复杂性,编写遗传算法程序求解这一高阶矩投资组合,最后给出了一个数值算例.
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| 关 键 词： | 投资组合 高阶矩 交易费用 遗传算法 多目标优化 |
The Higher Moment Portfolio Model Based on Genetic Algorithm |
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| Yang Jianhui,Lin Riji. The Higher Moment Portfolio Model Based on Genetic Algorithm[J]. Henan Science, 2014, 0(5): 697-702 |
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| Authors: | Yang Jianhui Lin Riji |
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| Affiliation: | 1. School of Business Administration, South China University of Technology, Guangzhou 510640, China 2. School of Economics and Commerce, South China University of Technology, Guangzhou 510640, China) |
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| Abstract: | The data of financial assets gains generally have asymmetric distribution and a fat tail, the traditional Markowitz portfolio model only considers the constraints of mean and variance, which is not sufficient in the deter- mination of the portfolio. Considering the impact of third-order moments skewness and the four order moment kurtosis on portfolio, assuming that the transaction costs are the V-type function, we established a mean-variance- skewness-kurtosis portfolio model. Then we used the genetic algorithm to solve the higher moment portfolio model and give a numerical example at the final. |
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| Keywords: | investment portfolio； higher moments； transaction costs； genetic algorithm； muhi-objectiveoptimization |
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