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。
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.h 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.
出处
《商业研究》
北大核心
2006年第16期49-51,共3页
Commercial Research
基金
哈尔滨市青年科学研究基金
项目编号:2004AFQXJ046
关键词
证券组合
粒子群算法
自适应变异
portfolio
particle swarm optimization
self-adapting mutation
