| 基于改进AGA算法求解含交易费用组合投资模型 |
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| 引用本文： | 何洋林,叶春明,徐济东.基于改进AGA算法求解含交易费用组合投资模型[J].计算机工程与应用,2007,43(11). |
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| 作者姓名： | 何洋林 叶春明 徐济东 |
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| 作者单位： | 上海理工大学,管理学院,上海,200093 |
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| 基金项目： | 上海市重点学科建设项目 |
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| 摘 要： | 根据国内证券交易市场的实际情况提出了含交易费用的投资组合优化模型,并利用改进自适应遗传算法(AGA)求解该模型,最后结合实际数据,利用Matlab语言编程仿真求解并取得了很好的效果。
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| 关 键 词： | 证券投资组合 交易费用 AGA算法 |
Portfolio investment model including transaction fee and solution based on adaptive genetic algorithm |
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| HE Yang-lin,YE Chun-ming,XU Ji-dong.Portfolio investment model including transaction fee and solution based on adaptive genetic algorithm[J].Computer Engineering and Applications,2007,43(11). |
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| Authors: | HE Yang-lin YE Chun-ming XU Ji-dong |
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| Abstract: | Considering the circumstances of Chinese securities business,this paper proposes a portfolio investment model including transaction fee,and gives a solution based on adaptive genetic algorithm.The method is tested and the expected results are obtained. |
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| Keywords: | portfolio investment transaction fee Adaptive Genetic Algorithm(AGA) |
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