用微粒群算法求解含交易费用的组合投资模型

Solution of portfolio investment model including transaction fee with particle swarm algorithm

针对国内证券交易的具体情况,提出了含交易费用的投资组合优化模型.利用微粒群算法对问题进行了求解,并结合实际数据进行仿真.结果表明,利用微粒群算法可以较高的效率求解该模型,且从结果上表明模型的合理性.

Considering the real situation in securities＇ transaction in China, a portfolio investment model including transaction fee was proposed, and a solution was obtained with particle swarm optimization. The results of real data simulations show that the model can be solved reasonably and effectively by use of particle swarm algorithm