均值-半方差投资组合优化问题的HHO算法求解

Harris Hawks Optimization Algorithm for Solving Mean-Semivariance Portfolio Selection

采用半方差来度量投资组合的风险,构建均值-半方差投资组合优化模型。针对其目标函数的非可微性,探寻用哈里斯鹰优化算法(Harris Hawks Optimization,HHO)来求解这个非光滑的金融优化问题,以获得最优投资组合。实证研究的结果表明HHO算法求解均值-半方差投资组合优化问题是可行和有效的。

This paper introduces the semivariance of returns to measure portfolio risk,and proposes a mean-semivariance portfolio optimization model.The Harris Hawks Optimization(HHO)is used to solve this non-smooth financial optimization problem,since the proposed model contains a non-differentiable objective function.The empirical results show that the HHO algorithm is a feasible and effective method for solving the mean-semivariance portfolio optimization problem.