摘要
在经典的Markowitz证券投资模型的基础上,加入目前在投资领域中广泛应用的风险价值VaR,建立一个以投资回报收益率标准差为目标,以VaR和收益为约束条件的投资组合模型.在正态分布的假设下,将目标函数中非线性约束进行简化.利用遗传算法对该模型进行计算机仿真,取得了良好的效果,解的结果既满足了VaR约束条件,又满足了不同投资者不同收益需求.
On the basis of Markowitz portfolio investment model, widely used risk tool VaR in investment field is applied to establish a model with one objective function of profit covariance and multi-constraint of VaR and profit rate. Under the hypothesis of normal distribution, the model non-linear constraint is deeply simplified. Then aiming at this model, genetic algorithm is designed for solving it. The optimum solution in the simulation about this portfolio model is given with algorithm. Its result is good not only in fitting in the VaR limitation but also catering for different investors with different profit needs.
出处
《江汉大学学报（自然科学版）》
2005年第4期48-52,共5页
Journal of Jianghan University：Natural Science Edition
