马克维茨投资组合模型的遗传算法

The Genetic Algorithm of Markowitz Mean-variance Analysis Approach

在介绍马克维茨均值—方差投资组合模型的理论依据、含义及表述的基础之上,提出了求解该投资组合模型的遗传算法。并采用实证分析的方法,与梯度算法进行了比较,从而显示了该遗传算法在求解此类有约束条件的非线性规划问题时的优势。

On the basis of introducing the theoretical basis, the implication and the expression of Markowitz mean-variance analysis approach, the thesis expounds the genetic algorithm to solve the Markowitz mean-variance analysis approach.Furthermore, the thesis uses the practical data to compare the gradient algorithm, thus to show the advantage of the genetic algorithm in sioving the question of nonlinear programing which includes the restricting conditions.