基于QPSO算法的单阶段投资组合优化

投资组合优化问题是NP难解问题,通常的方法很难较好地接近全局最优.在经典微粒群算法(PSO)的基础上,研究了基于量子行为的微粒群算法(QPSO)的单阶段投资组合优化方法,具体介绍了依据目标函数如何利用QPSO算法去寻找最优投资组合.在具体应用中,为了提高算法的收敛性和稳定性对算法进行了改进.利用真实历史数据进行验证,结果表明在解决单阶段投资组合优化问题时,基于QPSO算法的投资组合优化的性能比PSO算法更加优越,且QPSO算法在投资组合优化领域具有很大的实际应用价值.     

应用QPSO算法求解二维热传导反问题

热传导反问题在国内研究起步较晚,研究方法有很多,但通常方法很难较好地接近全局最优。在经典的微粒群优化算法(PSO)的基础上,通过研究基于量子行为的微粒群优化算法(QPSO)提出了应用基于量子行为的微粒群优化算法进行二维热传导参数优化,具体介绍依据目标函数如何利用上述的算法去寻找最优参数组合。在具体应用中为了提高算法的收敛性和稳定性对算法进行了改进,并进行了大量实验,结果显示在解决热传导反问题优化问题中,基于QPSO算法的性能优越,证明QPSO在热传导领域具有很大的实际应用价值。     

QPSO算法与PSO算法求解二维热传导反问题

热传导反问题在国内研究起步较晚,研究方法有很多,但通常方法很难较好地接近全局最优.在介绍经典的微粒群优化算法(PSO)的基础上,研究基于量子行为的微粒群优化算法(QPSO)的二维热传导参数优化方法,具体介绍依据目标函数如何利用上述的算法去寻找最优参数组合.为了提高算法的收敛性和稳定性,在具体应用中对算法进行了改进,并进行了大量实验,结果显示在解决热传导反问题优化问题中,基于QPSO算法的性能比经典PSO算法更加优越,证明QPSO在热传导领域具有很大的实际应用价值.     

改进微粒群优化算法求解旅行商问题

对微粒群优化算法的速度位置算式进行了改进,提出一种改进的微粒群优化算法。该算法符合组合优化问题的特点,在求解旅行商问题上有较高的搜索效率。将改进的PSO算法分别应用于14点的TSP问题以及中国旅行商问题中,该算法在较短时间内获得了目前已知的最好解。     

一种求解背包问题的混合遗传微粒群算法

背包问题是计算科学理论中一个著名的NP-hard问题,也是典型的组合优化问题,在物流系统的库存分配和货物装载等方面都有非常重要的应用.采用借鉴遗传算法的编码、交叉和变异的遗传微粒群算法对背包问题进行求解.为了增强遗传微粒群算法的搜索性能,将基于自学习规则的启发式算法与遗传微粒群算法相结合得到混合遗传算法用于求解背包问题.对多个标准测试实例的仿真计算表明,该算法能有效求解KP问题.     

微粒群优化动态神经网络模型结构分析

微粒群算法由于进化机制中的随机不确定性,其稳定性很难进行分析,所以对微粒群的研究多是根据经验的实际优化模型求解.针对该问题,利用鲁棒不确定性理论,将算法分解为时不变和不确定时变的结构,减少原有参数固定的假设条件,从而对引入动态惯性权重的微粒群算法的渐近稳定性进行分析.在此基础之上,采用李雅普诺夫方法,得到基于微粒群参数优化的动态神经网络收敛的充分条件,自适应调整微粒速度的上下限,为组合模型的实际应用提供参数选择的理论基础.最后,通过仿真实例验证了所给出微粒群算法稳定性条件和基于微粒群优化的动态神经网络收敛条件的有效性.     

基于排序优化的微粒群算法

微粒群算法是一种新颖的群智能仿生进化优化算法，其原理简单，控制参数少，容易实现，在连续空间中有很强的优化能力。研究了将微粒群算法应用于基于排序的组合优化问题，进行了算法设计，给出了算法的流程，提出了计算两个排列的差及由置换求微粒群算法的速度的具体操作方法。为加快算法的收敛速度，增强全局搜索能力，运用矩阵的逐行最小元法来初始化微粒群，引入了突变算子。对一些测试旅行商问题利用新算法进行了模拟仿真，结果表明算法是可行的。     

基于改进微粒群算法的信息化需求组合优选模型研究

为了适应信息化需求投资组合量化管理的要求,提出了一种基于改进微粒群算法的信息化需求投资组合模型.首先论述了微粒群在投资领域中的应用现状;其次定义了信息化需求元模型,设定了相关两系数;提出了一种引入信息化需求间效用期望系数、决策者偏好系数的新微粒群机制的IPSO算法,并与传统PSO算法进行了对比验证.     

解决TSP问题的局部调整离散微粒群算法

微粒群算法提出以来一直不能较好的解决离散及组合优化问题,针对这个问题,通过对微粒群算法的优化机理的分析,对原有的微粒群进化方程中的速度和位置的更新等进行重新的定义,同时提出一种具有自适应能力的惯性因子,使其适合解决TSP这样的组合优化问题.针对过去的离散算法整体调整容易形成对路径的破坏这一缺点,在重新定义的算法上加入局部调整的策略,形成一种局部调整的离散微粒群算法(local adjustive discrete PSO,LADPSO),通过在ch31和ei151上的试验,证明了该算法在解决这一问题上是可行的.     

基于二次粒子群算法的投资组合优化

投资组合优化问题是一个复杂的组合优化问题,属于NP难问题,传统算法很难解决这一问题。将二次粒子群算法应用到投资组合优化问题中,并采用参数的自适应变化。数值模拟表明该算法在投资组合优化问题中能避免陷入局部最优,加快达到全局最优的收敛速度,并在一定意义下优于标准粒子群算法。     

基于QPSO-SA混合算法的多目标投资组合优化

多目标投资组合优化就是决定每个具有特定风险、回报、交易费用等特征的资产在总投资价值中的投资比例,即选择那些资产投资以及寻找每个投资资产的最佳投资比例,使得总投资的风险最小、交易费用最小、回报最大等等。该问题是典型的NP难解问题,通常方法很难达到全局最优。研究如何把基于量子行为的微粒群优化算法（QPSO算法）和模拟退火算法(SA算法)结合起来解决多目标投资组合优化问题。利用美国标准普尔指数100的股票历史数据进行验证,纯QPSO算法与QPSO-SA混合算法的运行结果比较表明在解决多目标投资组优化问题中,QPSO-SA混合算法是一种高效的、可靠的优化算法,具有一定的实用价值。     

基于微分进化算法的多阶段投资组合优化

投资组合优化问题就是决定每个具有特定风险和回报的投资资产在总投资价值中的分配比例。在不断变化的金融市场中,多阶段投资组合优化就是通过周期性重新平衡投资资产比例管理投资组合以达到投资风险最小或投资回报最大。研究了基于微分进化算法在多阶段投资组合优化中制定投资决策的方法,目标函数是最大化个人经济效益或最大化周期结束时个人财富。通过比较用微分进化算法和遗传算法(GA)优化同样的资产对象所得到的期望收益率均值与方差,该文所提出的方法的优越性被美国标准普尔指数100的不同股票和现金分配优化所证实。     

Models and Simulations for Portfolio Rebalancing

In 1950 Markowitz first formalized the portfolio optimization problem in terms of mean return and variance. Since then, the mean-variance model has played a crucial role in single-period portfolio optimization theory and practice. In this paper we study the optimal portfolio selection problem in a multi-period framework, by considering fixed and proportional transaction costs and evaluating how much they affect a re-investment strategy. Specifically, we modify the single-period portfolio optimization model, based on the Conditional Value at Risk (CVaR) as measure of risk, to introduce portfolio rebalancing. The aim is to provide investors and financial institutions with an effective tool to better exploit new information made available by the market. We then suggest a procedure to use the proposed optimization model in a multi-period framework. Extensive computational results based on different historical data sets from German Stock Exchange Market (XETRA) are presented.     

A heuristic genetic algorithm for product portfolio planning

Product portfolio planning has been recognized as a critical decision facing all companies across industries. It aims at the selection of a near-optimal mix of products and attribute levels to offer in the target market. It constitutes a combinatorial optimization problem that is deemed to be NP-hard in nature. Conventional enumeration-based optimization techniques become inhibitive given that the number of possible combinations may be enormous. Genetic algorithms have been proven to excel in solving combinatorial optimization problems. This paper develops a heuristic genetic algorithm for solving the product portfolio planning problem more effectively. A generic encoding scheme is introduced to synchronize product portfolio generation and selection coherently. The fitness function is established based on a shared surplus measure leveraging both the customer and engineering concerns. An unbalanced index is proposed to model the elitism of product portfolio solutions.     

A fuzzy modeling for fuzzy portfolio optimization

Conventional portfolio optimization models have an assumption that the future condition of stock market can be accurately predicted by historical data. However, no matter how accurate the past data is, this premise will not exist in the financial market due to the high volatility of market environment. This paper discusses the fuzzy portfolio optimization problem where the asset returns are represented by fuzzy data. A mean-absolute deviation risk function model and Zadeh’s extension principle are utilized for the solution method of portfolio optimization problem with fuzzy returns. Since the parameters are fuzzy numbers, the gain of return is a fuzzy number as well. A pair of two-level mathematical programs is formulated to calculate the upper bound and lower bound of the return of the portfolio optimization problem. Based on the duality theorem and by applying the variable transformation technique, the pair of two-level mathematical programs is transformed into a pair of ordinary one-level linear programs so they can be manipulated. It is found that the calculated results conform to an essential idea in finance and economics that the greater the amount of risk that an investor is willing to take on, the greater the potential return. An example, which utilizes the data from Taiwan stock exchange corporation, illustrates the whole idea on fuzzy portfolio optimization problem.     

Strategic Particle Swarm Inertia Selection for Electricity Markets Participation Portfolio Optimization

ABSTRACT

The portfolio optimization is a well-known problem in the areas of economy and finance. This problem has also become increasingly important in electrical power systems, particularly in the area of electricity markets, mostly due to the growing number of alternative/complementary market types that are being introduced to deal with important issues, such as the massive integration of renewable energy sources in power systems. The optimization of electricity market players’ participation portfolio comprises significant time constraints, which cannot be satisfied by the use of deterministic techniques. For this reason, meta-heuristic solutions are used, such as particle swarm optimization. The inertia is one of the most important parameter in this method, and it is the main focus of this paper. This paper studies 18 popular inertia calculation strategies, by comparing their performance in the portfolio optimization problem. A strategic methodology for the automatic selection of the best inertia calculation method for the needs of each optimization is also proposed. Results show that the proposed approach is able to automatically adapt the inertia parameter according to the needs in each execution.     

基于PSO的考虑完整费用的证券组合优化研究

通过分析中国证券市场证券交易不可拆分、不能卖空的特点以及现存的各种交易费用,建立一个考虑完整交易费用的证券投资组合优化模型,同时给出一个应用粒子群算法(PSO)求解的实例。结果证明该证券投资组合优化模型的完整性和有效性,也表明PSO算法可以快速准确地求解证券投资组合优化问题。     

An optimization model of the portfolio adjusting problem with fuzzy return and a SMO algorithm

Based on possibilistic mean and variance theory, this paper deals with the portfolio adjusting problem for an existing portfolio under the assumption that the returns of risky assets are fuzzy numbers and there exist transaction costs in portfolio adjusting precess. We propose a portfolio optimization model with V-shaped transaction cost which is associated with a shift from the current portfolio to an adjusted one. A sequential minimal optimization (SMO) algorithm is developed for calculating the optimal portfolio adjusting strategy. The algorithm is based on deriving the shortened optimality conditions for the formulation and solving 2-asset sub-problems. Numerical experiments are given to illustrate the application of the proposed model and the efficiency of algorithm. The results also show clearly the influence of the transaction costs in portfolio selection.     

Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty

Absolute deviation is a commonly used risk measure, which has attracted more attentions in portfolio optimization. The existing mean-absolute deviation models are devoted to either stochastic portfolio optimization or fuzzy one. However, practical investment decision problems often involve the mixture of randomness and fuzziness such as stochastic returns with fuzzy information. Thus it is necessary to model portfolio selection problem in such a hybrid uncertain environment. In this paper, we employ random fuzzy variable to describe the stochastic return on individual security with ambiguous information. We first define the absolute deviation of random fuzzy variable and then employ it as risk measure to formulate mean-absolute deviation portfolio optimization models. To find the optimal portfolio, we design random fuzzy simulation and simulation-based genetic algorithm to solve the proposed models. Finally, a numerical example for synthetic data is presented to illustrate the validity of the method.