| 基数约束的投资组合优化问题的遗传算法及实证分析 |
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| 引用本文： | 马宇红,王艳玲.基数约束的投资组合优化问题的遗传算法及实证分析[J].西北师范大学学报,2011,47(2). |
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| 作者姓名： | 马宇红 王艳玲 |
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| 作者单位： | 西北师范大学学报编辑部;西北师范大学数学与信息科学学院; |
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| 基金项目： | 国家自然科学基金资助项目(11061030) |
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| 摘 要： | 研究带有基数约束的投资组合优化问题的均值方差模型,给出了基于优先权编码的遗传算法及求解步骤.基于沪深股市20种股票的实际交易数据进行实证分析,结果表明,本文给出的遗传算法是成功的、有效的.
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| 关 键 词： | 投资组合 基数约束 遗传算法 有效前沿 |
Genetic algorithm of portfolio optimization with cardinality constraint and its empirical analysis |
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| MA Yu-hong,WANG Yan-ling.Genetic algorithm of portfolio optimization with cardinality constraint and its empirical analysis[J].Journal of Northwest Normal University Natural Science (Bimonthly),2011,47(2). |
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| Authors: | MA Yu-hong WANG Yan-ling |
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| Institution: | MA Yu-hong1,2,WANG Yan-ling2 (1.Editorial Department of the University Journal,Northwest Normal University,Lanzhou 730070,Gansu,China,2.College of Mathematics and Information Science,China) |
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| Abstract: | The mean-variance model with cardinality constraint in portfolio optimization is studied in this paper.The technique of chromosome coding based on priority and solving procedure of genetic algorithm are given.An empirical analysis is carried out by using trading data from Shanghai and Shenzhen stock markets.The results show that the genetic algorithm is successful and efficient. |
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| Keywords: | portfolio optimization cardinality constraint genetic algorithm efficient frontier |
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