作 者: ;
机构地区: 广东工业大学
出 处: 《系统管理学报》 2012年第4期546-551,共6页
摘 要: 将Markowiz投资组合模型的思想引入到做市商市场出清价格模型中的投资策略选择人数比例的确定中,构造了极小化用收益率的方差来表示投资风险的优化模型,并应用遗传算法求解该模型。研究认为,引入Markowiz投资组合模型思想后:①价格及收益率序列的波动性减小,提高了价格发现效率,有助于保证市场稳定。②策略选择人数比例演化出现了较大变化。 The Markowitz model is incorporated into a model for determining the proportion of strategy selection investors in market makers,and the optimization model whose yield is denoted by minimal variance of return is constructed.The genetic algorithm is used to solve this model.The result shows that Markowitz model is used:(1) Time series of prices and returns have smaller volatilities,the efficiency of price discovery is improved and the market is stabilized.(2) The proportion of strategy selection investors changes a lot.
领 域: []