基于改进蚁狮算法优化考虑交易成本的M-CVaR模型  

M-CVAR MODEL CONSIDERING TRANSACTION COST BASED ON IMPROVED ANT LION ALGORITHM

作　　者：林擎鑫 马宁[1] 王一成 成晨 Lin Qingxin;Ma Ning;Wang Yicheng;Cheng Chen(National Languages Information Technology,Northwest Minzu University,Lanzhou 730000,Gansu,China)

机构地区：[1]西北民族大学中国民族信息技术研究院,甘肃兰州730000

出　　处：《计算机应用与软件》2022年第12期58-63,共6页Computer Applications and Software

基　　金：国家自然科学基金项目(61762076)。

摘　　要：现代投资组合理论不断完善与发展,使得如何实现低风险下的收益极大化成为了研究热点。在传统M-CVaR模型的基础上,结合我国证券交易市场的实情,建立考虑交易成本的M-CVaR投资组合模型。引入改进蚁狮算法对该模型进行求解。通过对于多种证券交易的实证分析,验证了该算法的有效性和优越性。The continuous improvement and development of modern portfolio theory makes how to maximize the returns under low risk become a research hotspot. Based on the traditional M-CVaR model, combined with the actual situation of China’s stock exchange market, an M-CVaR portfolio model considering transaction costs is established. An improved ant lion algorithm was introduced to solve this model. Through the empirical analysis of a variety of securities transactions, the effectiveness and superiority of this algorithm were verified.

关 键 词：投资组合 交易成本 改进蚁狮算法 M-CVaR 

分 类 号：TP399[自动化与计算机技术—计算机应用技术]