| 基于模糊遗传算法的自融资有效投资组合研究 |
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| 引用本文： | 邓雪,;李荣钧.基于模糊遗传算法的自融资有效投资组合研究[J].经济数学,2009(4). |
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| 作者姓名： | 邓雪 ;李荣钧 |
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| 作者单位： | [1]华南理工大学工商管理学院; [2]华南理工大学理学院数学系 |
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| 基金项目： | 教育部高等学校博士点专项科研基金资助项目(20060561002);; 广东省软科学研究资助项目(2008B070800012) |
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| 摘 要： | 在马克维茨投资组合的均值一方差模型框架下,给出限制投资数量的自融资投资组合优化模型.把预期收益率不等式约束转化为模糊约束,采用一种通过惩罚因子,对适应度函数进行修正的模糊遗传算法来求解模型.在理论上,这种算法能够将最优基因较完整地遗传到下一代,有效地避免了早熟现象,可以得到更好的适应度函数值.在实际应用中,对一具体自融资有效投资组合实例进行计算,结果表明:本文所提出的模糊遗传算法是可行的、有效的,具有更好的优化结果.
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| 关 键 词： | 投资组合 自融资 模糊遗传算法 半剃度模糊数 |
THE RESSEARCH ON SELF-FINANCING EFFECTIVE PORTFOLIO BASED ON FUZZY GENETIC ALGORITHM |
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| Institution: | DENG Xue1; 2; LI Rong-jun1(1.School of Business Administration; South China University of Technology; Guangzhou; Guangdong 510640; China; 2.Department of Mathematics; School of Science; China); |
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| Abstract: | Based on Markowitz s mean-variance portfolio model,we proposed a self-financing portfolio optimal model with constraints of invest proportions.By using a penalty factor,the Fuzzy Genetic Algorithm was applied to solve the model with rectified fitness function,in which the inequality constraint of expected return was changed into a fuzzy constraint.In theory,in order to avoid the early maturity,the optimal gene can be inherited to next generation perfectly.As a result,a better fitness function value will be ... |
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| Keywords: | portfolio investment self-financing fuzzy genetic algorithm half-trapezoid fuzzy number |
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