基于PSO的考虑完整费用的证券组合优化研究

Study on portfolio investment with full transaction cost based on particle swarm optimization

通过分析中国证券市场证券交易不可拆分、不能卖空的特点以及现存的各种交易费用,建立一个考虑完整交易费用的证券投资组合优化模型,同时给出一个应用粒子群算法（PSO）求解的实例。结果证明该证券投资组合优化模型的完整性和有效性,也表明PSO算法可以快速准确地求解证券投资组合优化问题。

This paper first analyzed the characters of no dividing stocks,no short selling and all kinds of transaction cost in Chinese stock market,and established a portfolio optimization model which totally reflected the transaction cost. At last, solved an investment example by particle swarm optimization （ PSO） . The result not only shows that this optimization model is complete and effect,but also indicates that PSO algorithm can solve the portfolio optimization problem exactly and quickly.