基于粒子群算法的资产管理模型探究

Research on the Asset Management Model Based on Particle Swarm Algorithm

本文结合“一带一路”倡议对我国外汇储备现状及存在的问题进行探讨,针对“一带一路”下的发展蓝图和机遇,总结了适合我国的外汇储备投资经验和新方向,利用Kelly-CVaR函数的资产增值率最大化和风险最小化的双目标优化配置模型,得到境外金融资产投资风险评估决策要素以及优质资产组合,并运用粒子群多目标搜索算法进行实证分析,划分最优资产配置方案等级。

This article discusses the status quo and existing problems of China's foreign exchange reserves in conjunction with the“Belt and Road”initiative,and summarizes the experience and new directions of foreign exchange reserve investment suitable for China in view of the development blueprint and opportunities under the“Belt and Road”initiative,and uses Kelly-CVaR The dual-objective optimal allocation model for maximizing the asset appreciation rate and minimizing risk of the function,obtains the decision elements of overseas financial asset investment risk assessment and high-quality asset portfolio,and uses the particle swarm multi-objective search algorithm to conduct empirical analysis and divide the optimal asset allocation plan grade.