基于改进粒子群算法的投资组合选择模型

Portfolio Selection Model Based on the Improved Particle Swarm Optimization

研究了在实际投资决策中存在交易成本(税收和交易费用)和投资数量约束下的投资组合选择问题,并进一步设计了一种求解该问题的改进粒子群算法。最后,给出了一个数值例子,说明该模型和方法的有效性。

Considering transaction costs and investing quantity constraints,the realistic portfolio selection problem was studied. An improved particle swarm optimization （IPSO） algorithm was designed to solve our proposed portfolio selection problem. A numerical example was given to illustrate our proposed effective model and approaches.