基于Monte Carlo的多目标投资组合优化

金融工程领域中,投资组合优化是一个核心课题。该文说明了如何均匀随机数产生随机权重向量的方法,从而实现了基于蒙特卡罗的多目标投资组合优化模型。实验结果表明,相比均值-方差优化模型,蒙特卡罗方法还可以在一定的收益和方差下,对其它计量指标进行优化。

Portfolio optimization is one of the most essential topics in financial engineering. In this. paper, we focus on optimizing multi--objective portfolio selection using Monte Carlo. The experimental results show that compared with traditional Mean-Variance Optimization, Monte Carlo methods can also obtain good optimization for other technical indicators without loss of mean return and increase of variance.