| 基于微粒群算法的单阶段投资组合优化 |
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| 引用本文： | 江家宝,须文波,于敏. 基于微粒群算法的单阶段投资组合优化[J]. 计算机工程与应用, 2006, 42(24): 216-218,225 |
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| 作者姓名： | 江家宝 须文波 于敏 |
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| 作者单位： | 江南大学信息工程学院,江苏,无锡,214122;江南大学信息工程学院,江苏,无锡,214122;江南大学信息工程学院,江苏,无锡,214122 |
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| 摘 要： | 投资组合优化问题是NP难解问题,通常方法很难达到全局最优,文章对微粒群算法在投资组合优化中的具体应用进行了研究,在具体应用过程中为了提高算法的收敛性和稳定性对算法进行了改进,通过多次具体的真实历史数据的验证和试验结果分析。结果表明在解决单阶段投资组合优化问题中,微粒群算法是一种高效的、可靠的优化算法,具有一定的实用价值。
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| 关 键 词： | 粒子群 最优化 投资组合 进化 |
| 文章编号： | 1002-8331-（2006）24-0216-03 |
| 收稿时间： | 2005-12-01 |
| 修稿时间： | 2005-12-01 |
Single Phase Portfolio Optimization Based on Particles Arithmetic |
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| Jiang Jiabao,Xu Wenbo,Yu Min. Single Phase Portfolio Optimization Based on Particles Arithmetic[J]. Computer Engineering and Applications, 2006, 42(24): 216-218,225 |
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| Authors: | Jiang Jiabao Xu Wenbo Yu Min |
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| Affiliation: | Institute of Information and Engineering, Jiangnan University, Wuxi,Jiangsu 214122 |
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| Abstract: | This paper discusses the application of particles arithmetic in the field of portfolio optimization.The problem of portfolio optimization is a problem of NP_hard.Ordinary methods are hard to be at the holistic best point.We improve particles arithmetic in order to enhance particles arithmetic's astringency and stability in this paper.Many experiments with actual and historical datas and the analyse of experiment result indicate that the optimization arithmetic is a kind of efficient and reliable optimization arithmetic and it has determinate applied value in the field of portfolio optimization. |
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| Keywords: | particles optimization portfolio anagenesis |
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