| 基于二次粒子群算法的投资组合优化 |
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| 引用本文： | 蒋金山,廖文志. 基于二次粒子群算法的投资组合优化[J]. 计算机应用与软件, 2009, 26(6): 161-163 |
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| 作者姓名： | 蒋金山 廖文志 |
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| 作者单位： | 华南理工大学数学科学学院,广东,广州,510640 |
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| 摘 要： | 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。
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| 关 键 词： | 投资组合 二次粒子群算法 粒子群算法 |
PORTFOLIO OPTIMIZATION BASED ON QUADRATIC PARTICLE SWARM OPTIMIZATION |
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| Jiang Jinshan,Liao Wenzhi. PORTFOLIO OPTIMIZATION BASED ON QUADRATIC PARTICLE SWARM OPTIMIZATION[J]. Computer Applications and Software, 2009, 26(6): 161-163 |
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| Authors: | Jiang Jinshan Liao Wenzhi |
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| Affiliation: | School of Mathematical Sciences;South China University of Technology;Guangzhou 510640;Guangdong;China |
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| Abstract: | Portfolio investment is a complicated combinatorial optimization problem,and is a NP-hard problem,which is difficult to be solved by traditional algorithm.In this paper,a quadratic particle swarm optimization(QPSO) is applied to solving the problem of portfolio investment optimization.In addition,self adapting parameters are applied.The result of the experiment shows that the QPSO can both escape local optimum and speed up global optimal convergence,and outperforms particle swarm optimization in some sense. |
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| Keywords: | Portfolio investment Quadratic particle swarm optimization Particle swarm optimization |
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