商业研究
商業研究
상업연구
COMMERCIAL RESEARCH
2014年
4期
142-148
,共7页
投资优化组合%和声搜索算法%基数约束均值-方差模型
投資優化組閤%和聲搜索算法%基數約束均值-方差模型
투자우화조합%화성수색산법%기수약속균치-방차모형
portfolio optimization%Harmony Search Algorithm%Cardinality Constrained Mean -Variance Model
随着社会的进步，经济呈多元化趋势发展，多元化的投资就显得尤为重要。为了使投资收益尽可能大、风险尽可能小，通过对基数约束均值-方差模型进行详细分析，本文提出了基于和声搜索算法的投资优化组合求解算法，通过对5个投资案例进行仿真测试，验证采用这种算法是有效可靠的。
隨著社會的進步，經濟呈多元化趨勢髮展，多元化的投資就顯得尤為重要。為瞭使投資收益儘可能大、風險儘可能小，通過對基數約束均值-方差模型進行詳細分析，本文提齣瞭基于和聲搜索算法的投資優化組閤求解算法，通過對5箇投資案例進行倣真測試，驗證採用這種算法是有效可靠的。
수착사회적진보，경제정다원화추세발전，다원화적투자취현득우위중요。위료사투자수익진가능대、풍험진가능소，통과대기수약속균치-방차모형진행상세분석，본문제출료기우화성수색산법적투자우화조합구해산법，통과대5개투자안례진행방진측시，험증채용저충산법시유효가고적。
With the progress of the society , economy has appeared diversified development trends , so it is important to build diversified portfolios .To make investment profit as large as possible , and to make the investment risk as small as possible, we analyze cardinality constrained mean -variance (CCMV) model in detail, and propose an improved harmo-ny search algorithm to solve portfolio optimization problems .Finally, five portfolio problems are used to test the proposed algorithm.The results show that the proposed algorithm has some advantages in precision .
