机构地区: 华南理工大学工商管理学院
出 处: 《经济数学》 2009年第4期91-96,共6页
摘 要: 在马克维茨投资组合的均值一方差模型框架下,给出限制投资数量的自融资投资组合优化模型.把预期收益率不等式约束转化为模糊约束,采用一种通过惩罚因子,对适应度函数进行修正的模糊遗传算法来求解模型.在理论上,这种算法能够将最优基因较完整地遗传到下一代,有效地避免了早熟现象,可以得到更好的适应度函数值.在实际应用中,对一具体自融资有效投资组合实例进行计算,结果表明:本文所提出的模糊遗传算法是可行的、有效的,具有更好的优化结果. Based on Markowitz s mean-variance portfolio model,we proposed a self-financing portfolio optimal model with constraints of invest proportions.By using a penalty factor,the Fuzzy Genetic Algorithm was applied to solve the model with rectified fitness function,in which the inequality constraint of expected return was changed into a fuzzy constraint.In theory,in order to avoid the early maturity,the optimal gene can be inherited to next generation perfectly.As a result,a better fitness function value will be ...
领 域: [经济管理]