基于进化规划的多目标投资组合选择模型研究

Research on multiobjective portfolio selection model based on evolutionary programming

在Markowitz的均值 方差模型的基础上 ,讨论了股票价格中偏度的重要性 ,并由此引出了一个同时考虑均值、方差和偏度的多目标投资组合选择模型 .提出了对该模型进行求解的进化规划算法 ,同时也说明了用进化规划方法处理多目标优化问题的合理性 .用一个算例验证了采用进化规划技术求解多目标投资组合选择模型是有效的 .

This paper discussed the importance of the role of skewness in the pricing of stocks based on the mean variance model of Markowitz, and educed a multi objective portfolio selection model synchronously taking into account the mean, variance and skewness. The authors also put forward an evolutionary programming algorithm for this model, and explained that it is rational to deal with multi objective optimization problem with evolutionary programming technique. It is testified that it is valid to solve muti objective portfolio selection model with evolutionary programming technique in the light of an example