投资组合模型
引用格式
:
陈婷婷
,
殷贺
,
江红莉
,
王露
.
基于天牛须搜索的粒子群优化算法求解投资组合问题
.
计算机系统应用
,2019,28(2):171–176.
http://www.c-s-
a.org.cn/1003-3254/6771.html
Particle Swarm Optimization Algorithm Based on Beetle Antennae Search for Solving Portfolio
Problem
CHEN Ting-Ting
1
, YIN He
2
, JIANG Hong-Li
2
, WANG Lu
2
1
(School of Science, Jiangsu University, Zhenjiang 212013, China)
2
(School of Finance & Economics, Jiangsu University, Zhenjiang 212013, China)
Abstract
: Particle Swarm Optimization (PSO), as a group intelligence algorithm, effectively improves the practicability
of the portfolio model, but it has the disadvantages of low search accuracy and easy to fall into local optimum. In order to
overcome its shortcomings, this study proposes a particle swarm optimization algorithm based on the Beetle Antennae
Search (Abbreviated as BAS), and applies it to the portfolio model with full cost. In the Optimization algorithm based on
BAS (BSO), the update rule of each particle is derived from BAS. In each iteration, it has its own judgment on the
environment space, and not only depends on the historical best solution in the PSO and the current global optimal solution
of the particle individual, thereby reducing the number of iterations, improving search speed and accuracy. The empirical
results show that the algorithm is more stable and effective.
Key words
: Beetle Antennae Search (BAS); Particle Swarm Optimization (PSO); portfolio model
1
引言
如何在充满不确定性的复杂系统中优化资本配置
是投资组合的关键问题
. Markowitz
在
1952
年提出的
均值
-
方差模型标志着投资组合理论的出现
.
然而该模
型没有考虑到投资实践中的一些限制
,
比如买空卖空
限制、投资数量、最小交易单位、交易成本等
,
这严
计算机系统应用
ISSN 1003-3254, CODEN CSAOBN
E-mail:
csa@iscas.ac.cn
Computer Systems & Applications,2019,28(2):171−176 [doi:
10.15888/j.cnki.csa.006771
]
http://www.c-s-a.org.cn
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中国科学院软件研究所版权所有
.