摘要
针对均值-VaR模型,引入随机全局搜索的遗传算法求解资产配置比例。以中证指数公司发布的HS300行业分类指数构建投资组合,分析了行业资产配置的投资组合问题,并对投资组合特征关于显著性水平α及风险偏好系数δ进行灵敏度分析。实证分析结果表明,本文所设计的算法取得了良好的效果,解出的结果既满足了投资的目标和约束条件,又反映了不同投资者之间不同的收益风险需求,而且具有较好的实践性。
To Mean--VaR model, this paper introduces a genetic algorithm which can research randomly and generally. We use HS300 profession classification index making investment profolio which issued by the china securities index company, has analyzed the question of profession property disposition investment profolio. And the sensitive analysis has been made on significance level and coefficient of risk preference of investment portfolio. The result shows that algorithm designed in the paper obtained good effect. The asset allocation result not only meets the investment objectives and the constraints, it also reflects the different income risk requirement of different investors. The Mean-VaR model and the the genetic algorithm proved to have good practice.
出处
《科技和产业》
2009年第3期44-49,共6页
Science Technology and Industry
基金
教育部人文社会科学研究项目(08JA630003)
