求解多目标投资组合优化模型的遗传算法

A genetic algorithm for solving multi-objective portfolio selection optimization problem

针对考虑最小交易量、交易费用,以及单项目最大投资上限约束的多目标投资组合模型,对目标函数添加惩罚函数项来处理约束条件的方法。本文通过对交叉算子、变异算子的改进,设计了一种遗传算法进行求解。实验算例表明,该算法是有效的。

For solving a multi-objective portfolio selection optimization problem with minimum transaction lots, transaction costs and upper limit on the maximum amount of invested capital in any security, used increasing penalty term in objective to due with the subjects. Improving the crossover operator, the mutation operator, presented a genetic algorithm based on integer encoding. It is show by the numerical test that the proposed algorithm is efficient to solve the multi-objective portfolio selection optimization problem.