基于改进AGA算法求解含交易费用改进组合投资模型

计算机工程与应用 ›› 2007, Vol. 43 ›› Issue (11): 235-237.

基于改进AGA算法求解含交易费用改进组合投资模型

何洋林叶春明徐济东

上海理工大学管理学院上海理工大学管理工程学院

收稿日期:2006-05-08 修回日期:1900-01-01 出版日期:2007-04-11 发布日期:2007-04-11
通讯作者: 何洋林

A portfolio investment model including transaction fee and solution based on AGA genetic algorithm

Yanglin He

Received:2006-05-08 Revised:1900-01-01 Online:2007-04-11 Published:2007-04-11
Contact: Yanglin He

摘要/Abstract

摘要： 本文根据国内证券交易市场的实际情况提出了含交易费用的投资组合优化模型，并利用改进自适应遗传算法（AGA）求解该模型，最后结合实际数据，利用Matlab语言编程仿真求解并取得了很好的效果。

关键词: 证券投资组合, 交易费用, AGA算法

Abstract: Considering the circumstances of Chinese securities business, this author proposes a portfolio investment model including transaction fee, and gives a solution based on adaptive genetic algorithm. The method is tested and the expected results are obtained.

Key words: Portfolio investment, transaction fee, adaptive genetic algorithm

何洋林叶春明徐济东. 基于改进AGA算法求解含交易费用改进组合投资模型[J]. 计算机工程与应用, 2007, 43(11): 235-237.

Yanglin He. A portfolio investment model including transaction fee and solution based on AGA genetic algorithm[J]. Computer Engineering and Applications, 2007, 43(11): 235-237.