关键词: 投资组合, 多目标优化, 遗传算法

Abstract: To the rational investors, besides giving attention to asset return and risk, the assets number of the portfolio is also an important aspect of their concerns. In certain return and risk level, the number of assets under fewer is easier to manage. This paper optimizes the Markowitz extension multi-objective optimization model using the NSGA-II algorithm and verifies the result through empirical analysis. The analysis result is that the assets number of the portfolio can reduce in certain return and risk levels, and it can greatly reduce the portfolio management cost for the investors.

Key words: portfolio, multi-objective optimization, Genetic Algorithm（GA）