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| 基于改进粒子群算法的投资组合选择模型 | |
| 引用本文： | 陈炜,张润彤,杨玲.基于改进粒子群算法的投资组合选择模型[J].计算机科学,2009,36(1):146-147. |
| 作者姓名： | 陈炜 张润彤 杨玲 |
| 作者单位： | 1. 首都经济贸易大学信息学院,北京,100070 2. 北京交通大学经济管理学院,北京,100044 3. 北京交通大学经济管理学院,北京,100044;首都经济贸易大学出版社,北京,100070 |
| 基金项目： | 国家自然科学项目，教育部人文社会科学研究青年基金，北京市教委人文面上项目 |
| 摘 要： | 研究了在实际投资决策中存在交易成本(税收和交易费用)和投资数量约束下的投资组合选择问题,并进一步设计了一种求解该问题的改进粒子群算法.最后,给出了一个数值例子,说明该模型和方法的有效性. |
| 关 键 词： | 投资组合 粒子群算法 交易成本 优化 |
| 收稿时间： | 1/6/2008 12:00:00 AM |
Portfolio Selection Model Based on the Improved Particle Swarm Optimization |
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| CHEN Wei,ZHANG Run-tong,YANG Ling.Portfolio Selection Model Based on the Improved Particle Swarm Optimization[J].Computer Science,2009,36(1):146-147. | |
| Authors: | CHEN Wei ZHANG Run-tong YANG Ling |
| Affiliation: | School of Information;Capital University of Economics and Business;Beijing 100070;China;School of Economics and Management;Beijing Jiaotong University;Beijing 100044;China;Publishing Company of Capital University of Economics and Business;China |
| Abstract: | Considering transaction costs and investing quantity constraints,the realistic portfolio selection problem was studied.An improved particle swarm optimization (IPSO) algorithm was designed to solve our proposed portfolio selection problem.A numerical example was given to illustrate our proposed effective model and approaches. |
| Keywords: | Portfolio selection Particle swarm optimization Transaction costs Optimization |
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