基于遗传算法的证券组合选择  

The Portfolio Investment Based on Genetic Algorithm

作　　者：张颖[1] 李磊[1] 

机构地区：[1]哈尔滨理工大学经济管理学院,黑龙江哈尔滨150080

出　　处：《哈尔滨理工大学学报》2007年第5期69-72,共4页Journal of Harbin University of Science and Technology

基　　金：国家自然科学基金项目(70571051)

摘　　要：以证券组合选择为研究对象,讨论寻求高收益、低风险的最佳证券组合.通过对马克维茨投资组合模型的分析,得到一个改进的证券组合选择准则.根据二进制编码遗传算法的适用性及运算特点,给出运算规则及评价函数,用以选择最佳证券组合.实例分析表明,方法操作简单,并能得到有效结果.This paper is to solve the portfolio combination and the best portfolio combination with high returns and low risk. An improved criterion on equal amount of portfolio selection has been proposed, after analyzing the Markowitz＇ s portfolio selection model. According to the serviceability and the characteristics of operation in binary - coded genetic algorithms, the obtained operational rule and evaluation function can select the best portfolio combination. The examples analysis indicates that the proposed method is simple and the results are more effective.

关 键 词：证券组合 遗传算法 二进制编码 

分 类 号：F830[经济管理—金融学]