摘要
分析我国证券市场现状的基础上,根据不允许卖空、并考虑交易成本的情况下,建立了多因素证券组合投资决策模型,然后利用遗传算法研究了模型的求解,进行了实证研究。
In this article , as far as the transaction cost is concerned, a multi - factor model for portfolio investment decision is established based on arbitrage pricing theory under the condition of no short sale, and then its solution is studied with the help of genetic algorithm. The method is tested and the expected results are obtained.
出处
《山东教育学院学报》
2007年第5期32-35,40,共5页
Journal of Shandong Education Institute
关键词
多因素
风险
组合投资
遗传算法
Multi- factor
Risk
Portfolio choice
Genetic algorithm
