风险效用投资组合模型的遗传算法求解  

Genetic algorithm for risk utility portfolio selection model

作　　者：陈国华[1] 李军成[1] 刘世媛[1] 

机构地区：[1]湖南人文科技学院数学系,湖南娄底417000

出　　处：《计算机工程与应用》2011年第2期237-238,241,共3页Computer Engineering and Applications

基　　金：国家自然科学基金(No.70221001;No.70601027);湖南省教育厅资助科研项目(No.07C389)~~

摘　　要：给出一个折衷考虑风险最小化和收益最大化的单目标决策方法,以单位风险收益最大化为决策目标建立了投资组合的非线性分式规划模型,考虑到分式规划问题的求解难度,利用遗传算法求解模型,并给出算法步骤。最后,给出了数值算例,结果表明该算法是简单有效的。Fractional utility function portfolio selection model is presented.About the largest return and the smallest risk of the portfolio selection problem,a utility function that balances the returns and risks is advanced,and then the portfolio selection model is built based on the nonlinear fractional programming.In order to solve the model,a genetic algorithm is proposed,and the numerical example of it are given.The optimum solution of an example about this portfolio model is given with this new algorithm.

关 键 词：投资组合模型 遗传算法 非线性分式规划 

分 类 号：F830.59[经济管理—金融学] O221[理学—运筹学与控制论]