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| 基于遗传算法的VaR约束下证券组合模型仿真 | |
| 引用本文： | 朱小梅,郭志钢,袁元. 基于遗传算法的VaR约束下证券组合模型仿真[J]. 江汉大学学报(自然科学版), 2005, 33(4): 48-52 |
| 作者姓名： | 朱小梅 郭志钢 袁元 |
| 作者单位： | 1. 西南石油学院,计算机系,四川,成都,610500 2. 西南财经大学,研究生部,四川,成都,614202 3. 农业银行重庆市分行,资产管理处,重庆,400011 |
| 摘 要： | 在经典的Markowitz证券投资模型的基础上,加入目前在投资领域中广泛应用的风险价值VaR,建立一个以投资回报收益率标准差为目标,以VaR和收益为约束条件的投资组合模型.在正态分布的假设下,将目标函数中非线性约束进行简化.利用遗传算法对该模型进行计算机仿真,取得了良好的效果,解的结果既满足了VaR约束条件,又满足了不同投资者不同收益需求. |
| 关 键 词： | 证券组合 收益率 VaR 遗传算法 |
| 文章编号： | 1673-0143（2005）04-0048-05 |
| 收稿时间： | 2005-04-05 |
| 修稿时间： | 2005-04-05 |
Computer Simulation Based on Genetic Algorithm for Solving Portfolio Problem with VaR Constraint |
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| ZHU Xiao-mei,GUO Zhi-gang,YUAN Yuan. Computer Simulation Based on Genetic Algorithm for Solving Portfolio Problem with VaR Constraint[J]. Journal of Jianghan University(Natural Sciences), 2005, 33(4): 48-52 | |
| Authors: | ZHU Xiao-mei GUO Zhi-gang YUAN Yuan |
| Abstract: | On the basis of Markowitz portfolio investment model, widely used risk tool VaR in investment field is applied to establish a model with one objective function of profit covariance and multi-constraint of VaR and profit rate. Under the hypothesis of normal distribution, the model non-linear constraint is deeply simplified. Then aiming at this model, genetic algorithm is designed for solving it. The optimum solution in the simulation about this portfolio model is given with algorithm. Its result is good not only in fitting in the VaR limitation but also catering for different investors with different profit needs. |
| Keywords: | portfolio selection profit rate VaR GA |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |