| 基于粒子群算法的证券组合投资模型的研究 |
| |
| 引用本文： | 刘侠,初红霞,王科俊. 基于粒子群算法的证券组合投资模型的研究[J]. 商业研究, 2006, 0(16): 49-51 |
| |
| 作者姓名： | 刘侠 初红霞 王科俊 |
| |
| 作者单位： | 哈尔滨理工大学,自动化学院,黑龙江,哈尔滨,150080 |
| |
| 基金项目： | 哈尔滨市青年科学研究基金,项目编号:2004AFQXJ046 |
| |
| 摘 要： | 从证券组合模型的概念,给出证券组合多目标决策模型。并用模糊优选法将证券组合多目标优化转化为单目标优化。同时,重点描述了粒子群算法,并采用自适应变异的粒子群算法对证券组合投资模型进行求解,最后编程实现证券组合模型的最优解,试验结果表明此方法取得了较好的效果。
|
| 关 键 词： | 证券组合 粒子群算法 自适应变异 |
| 文章编号： | 1001-148X（2006）16-0049-02 |
| 收稿时间： | 2005-10-20 |
| 修稿时间： | 2005-10-20 |
Portfolio Investment Model Based on Particle Swarm Optimization |
| |
| LIU Xia,CHU Hong-xia,WANG Ke-jun. Portfolio Investment Model Based on Particle Swarm Optimization[J]. Commercial Research, 2006, 0(16): 49-51 |
| |
| Authors: | LIU Xia CHU Hong-xia WANG Ke-jun |
| |
| Affiliation: | Department of Automation, Harbin University of Science and Technology, Harbin, Heilongjiang, 150080 China |
| |
| Abstract: | The paper introduces the concept of portfolio's model and describes multiple objective decision model about it in detail.Multiple-objective optimal problem is converted into simple objective optimization by using the fuzzy optimum seeking method.It emphasizes particle swarm optimization algorithm in succession.Portfolio investment model can be established with self-adapting mutation's PSO.Experimental result shows that the method acquires the preferable effect. |
| |
| Keywords: | portfolio particle swarm optimization self-adapting mutation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
