基于遗传算法的多因素证券组合投资决策模型

Multi-factor Model for Portfolio Investment Decision Based on Genetic Algorithm

基于 APT理论 ,在不允许卖空、并考虑交易成本的情况下 ,本文建立了多因素证券组合投资决策模型 。

As far as the transaction cost is concerned, a multi-factor model for portfolio investment decision is established based on arbitrage pricing theory under the condition of no short sale, and then its solution is studied with the help of genetic algorithm.