Computer Engineering and Applications ›› 2007, Vol. 43 ›› Issue (20): 7-10.

• 博士论坛 • Previous Articles     Next Articles

Approximation algorithm for complex optimal consumption/portfolio problems

SUN You-fa   

  1. Department of Information Management Engineering,School of Economics and Management,Guangdong University of Technology,Guangzhou 510520,China
  • Received:1900-01-01 Revised:1900-01-01 Online:2007-07-11 Published:2007-07-11
  • Contact: SUN You-fa

复杂最优消费组合问题的数值逼近解算法

孙有发   

  1. 广东工业大学 经济管理学院信息管理工程系,广州 龙洞 510520
  • 通讯作者: 孙有发

Abstract: For those complex optimal consumption and portfolio problems whose analytical solutions are unavailable according to the existing methods,this paper proposes a framework of approximation algorithm based on the parameterization approach and genetic algorithm.Applications to two benchmark consumption/portfolio problems demonstrate the algorithm’s feasibility and universality.

Key words: optimal consumption/portfolio, numerical solution, parameterization approach, genetic algorithm

摘要: 针对由现有理论和方法求不到显式解的复杂最优消费组合问题,提出基于参数待定法以及遗传算法的数值逼近解算法。算法的可行性及通用性,在求解基准的复杂最优消费组合问题上得到了检验。

关键词: 最优消费组合, 数值解, 参数待定法, 遗传算法