基于遗传算法的证券组合投资优化问题的模拟分析

Simulation analysis on the problem of portfolio investment based on genetic algorithm

分析了用遗传算法求解组合证卷投资中的Markowitz模型的各种问题,提出了一种采用最优保存策略的遗传算法求解WilliamSharpe模型的方法,并且实现了N种证券投资组合优化的模拟分析,得出比用二次规划算法求解更好的结果.

The paper analyse a lot of problems which using genetic algoeithm to study markowitz model of portfolio investment, puts forward a method which adopts optimal conversation genetic algorithm to solve William Sharpe model. Moreover it optimizes the portfolio investment on the basis of discretionary kinds of security, better result is obtained than two programming.