基于遗传算法的最优证券投资组合模型  

Study of the Optimal Models for Portfolio Investment Based on Genetic Algorithm

作　　者：陈科燕[1] 肖冬荣[1] 

机构地区：[1]南京气象学院信息工程系,江苏南京210044

出　　处：《南京气象学院学报》2003年第5期707-711,共5页Journal of Nanjing Institute of Meteorology

基　　金：江苏省攻关课题(BE200232)

摘　　要：为了研究能使风险损失率最小、收益最大的最优证券投资组合问题,首先提出了多目标规划模型,并采用模糊优选法将多目标模型单目标化。随后尝试采用遗传算法来对其求解,给出了模型的遗传算法编码规则和算法步骤。最后通过实例论证了模型的合理性及遗传算法的有效性。For the study of the bestassembled investment with the maximum earning and least risk,a model of multiobjective project is built and then is transformed into a simple target programming problem by fuzzy evaluation,which is solved by using the genetic algorithm.The coding rule and steps of the algorithm are also given,and at last,an example shows the reasonableness of the model and the effectiveness of the algorithm.

关 键 词：多目标规划 模糊优选法 遗传算法 证券投资 风险 证券投资组合 

分 类 号：TP18[自动化与计算机技术—控制理论与控制工程]