| 基于遗传算法的证券组合选择 |
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| 引用本文： | 张颖,李磊.基于遗传算法的证券组合选择[J].哈尔滨理工大学学报,2007,12(5):69-72. |
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| 作者姓名： | 张颖 李磊 |
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| 作者单位： | 哈尔滨理工大学,经济管理学院,黑龙江,哈尔滨,150080 |
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| 基金项目： | 国家自然科学基金项目(70571051) |
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| 摘 要： | 以证券组合选择为研究对象,讨论寻求高收益、低风险的最佳证券组合.通过对马克维茨投资组合模型的分析,得到一个改进的证券组合选择准则.根据二进制编码遗传算法的适用性及运算特点,给出运算规则及评价函数,用以选择最佳证券组合.实例分析表明,方法操作简单,并能得到有效结果.
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| 关 键 词： | 证券组合 遗传算法 二进制编码 |
| 文章编号： | 1007-2683（2007）05-0069-04 |
| 修稿时间： | 2006-10-16 |
The Portfolio Investment Based on Genetic Algorithm |
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| ZHANG Ying,LI Lei.The Portfolio Investment Based on Genetic Algorithm[J].Journal of Harbin University of Science and Technology,2007,12(5):69-72. |
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| Authors: | ZHANG Ying LI Lei |
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| Affiliation: | Economic Management College, Harbin Univ. Sci. Tech. , Harbin 150080, China |
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| Abstract: | This paper is to solve the portfolio combination and the best portfolio combination with high returns and low risk.An improved criterion on equal amount of portfolio selection has been proposed,after analyzing the Markowitz's portfolio selection model.According to the serviceability and the characteristics of operation in binary -coded genetic algorithms,the obtained operational rule and evaluation function can select the best portfolio com- bination.The examples analysis indicates that the proposed method is simple and the results are more effective. |
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| Keywords: | portfolio selection genetic algorithm binary code |
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