基于遗传算法的模糊证券组合投资模型  

Model of fuzzy portfolio investment based on genetic algorithm

作　　者：郑飏飏[1] 

机构地区：[1]武汉交通职业学院财经系,湖北武汉430062

出　　处：《科技与管理》2007年第6期88-89,92,共3页Science-Technology and Management

摘　　要：在不允许卖空的情况下,为了体现投资者对期望收益的满意度,以最小风险对应的最大方差系数为目标,期望临界收益率为约束,运用模糊优化的方法建立了证券组合投资模型,并采用遗传算法给出了模型的求解。Under the condition of no-short sale, the model of portfolio investment by using the method of fuzzy optimization is built. In order to show the satisfactory degree of customer,the most coefficient of variance corresponding to the least risk is taken as an object function,and the expected critical yield rate is taken as a restraining condition in this model. Then the genetic algorithm is used for solving this problem.

关 键 词：临界收益率 方差系数 模糊证券组合模型 遗传算法 

分 类 号：F830.91[经济管理—金融学]