|
|||||
|
|
| 约束粒子群算法求解自融资投资组合模型研究 | |
| 引用本文： | 刘衍民,赵庆祯,牛奔.约束粒子群算法求解自融资投资组合模型研究[J].数学的实践与认识,2011,41(2). |
| 作者姓名： | 刘衍民 赵庆祯 牛奔 |
| 作者单位： | 1. 遵义师范学院数学系,贵州,遵义,563002;山东师范大学,管理与经济学院,山东,济南,250014 2. 山东师范大学,管理与经济学院,山东,济南,250014 3. 深圳大学管理学院,广东,深圳,518060 |
| 基金项目： | 国家自然科学基金(71001072); 贵州教育厅社科项目(0705204); 遵义师院课题(2007018,基07015,07017) |
| 摘 要： | 在马克维茨投资组合的均值-方差模型框架下,给出限制投资数量的自融资投资组合优化模型.在金融市场上有广泛应用,为了有效地求解此类问题的最优解,采用一种基于广义学习策略的约束粒子群算法(CPSO).CPSO算法具有广义的学习策略,极大地提升了种群的多样性,进而提升种群跳出局部最优解的能力.在基准函数测试中,结果显示CPSO算法有较好的运行结果.在自融资投资组合优化模型上,优化结果表明CPSO算法是可行的,有效的,并有较好的优化结果. |
| 关 键 词： | 约束 粒子群算法 投资组合 自融资 |
Constrain Particle Swarm Optimizer for Solving Sel-Financing Portfolio Model |
|
| LIU Yan-min,ZHAO Qing-zhen,NIU Ben.Constrain Particle Swarm Optimizer for Solving Sel-Financing Portfolio Model[J].Mathematics in Practice and Theory,2011,41(2). | |
| Authors: | LIU Yan-min ZHAO Qing-zhen NIU Ben |
| Institution: | LIU Yan-min~(1,2),ZHAO Qing-zhen~2,NIU Ben~3 (1.Department of math,Zunyi Normal College,Zunyi 563002,China) (2.School of Management and Economics,Shandong Normal University,Jinan 250014,China) (3.College of Management,Shenzhen University,Shenzhen 518060,China) |
| Abstract: | Based on Markowitz's mean-variance portfolio model,a self-financing portfolio optimal model with constraints of invest proportions is proposed,which is widely used in financial market.In order to effectively solve the optimal solution of this model,a comprehensive learning constraint PSO algorithm is proposed(CPSO for short).In CPSO,the comprehensive learning strategy is adopted,which greatly improve the diversity of the swarm and improve the ability to escape from local optima.The experiments on benchmarks... |
| Keywords: | constrain particle swarm optimizer portfolio self-financing |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |