| 基于模拟退火算法的证券投资最优组合理论研究 |
| |
| 引用本文： | 丁雪梅,伦立军,辛英. 基于模拟退火算法的证券投资最优组合理论研究[J]. 哈尔滨师范大学自然科学学报, 2003, 19(5): 54-56 |
| |
| 作者姓名： | 丁雪梅 伦立军 辛英 |
| |
| 作者单位： | 1. 哈尔滨师范大学
2. 山东工商学院 |
| |
| 基金项目： | 20 0 3年哈尔滨师范大学科研基金项目 |
| |
| 摘 要： | 诸多求解证券组合问题的方法是基于Markowitz模型中协方差矩阵是正定的前提条件，但该条件不具有一般性．本文着重对预期收益固定、风险最小的证券最优组合的投资比例向量的求解，提出了一种基于模拟退火算法的解决方法，避免了协方差矩阵是正定的问题，更具有实用性．
|
| 关 键 词： | 模拟退火算法 证券组合投资 最小风险 Markowitz模型 协方差矩阵 |
| 修稿时间： | 2003-09-12 |
THE RESEARCH OF PORTFOLIO INVESTMENT BASED ON SIMULATED ANNEALING |
| |
| Ding Xuemei Lun Lijun Xin Ying. THE RESEARCH OF PORTFOLIO INVESTMENT BASED ON SIMULATED ANNEALING[J]. Natural Science Journal of Harbin Normal University, 2003, 19(5): 54-56 |
| |
| Authors: | Ding Xuemei Lun Lijun Xin Ying |
| |
| Affiliation: | Ding Xuemei Lun Lijun Xin Ying (Harbin Normal University) (Shandong Business Institute) |
| |
| Abstract: | Many methods for portfolio problem demand that the matrix E in the Markowitz model is positive definite, but this condition is not always right. Mainly, simulated annealing is porposed for approach to vector of proportion of the portfolio investment with least risk and given expected return, which can avoid above limit and is practical. |
| |
| Keywords: | Simulated annealing Portfolio investment Least risk |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
