IMPROVED GENETIC ALGORITHM TO OPTIMAL PORTFOLIO WITH RISK CONTROL

被引：2
|
作者：
Ye Zhongxing
Zhang Yijun(Dept. of Applied Mathematics) (Application Solution & Technolodge Inc.
机构：
来源：
JournalofShanghaiJiaotongUniversity | 1996年 / 02期
关键词：
genetic algorithm; stock; optimal portfolio; risk;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A modified model of optimal investment port folio in a random market with risk constraints is presented. An improved genetic algorithm (GA) is proposed to solve this nonlinear optimal problem. The numerical simulation of a large-scale investment combination for Shanghai stock market shows that GA has the advantage of faster convergence and wider adaptability than traditional optimization algorithm. This result alsodemonstrates that the improved GA performs better than the basic GA.
引用
收藏
页码：9 / 16
页数：8
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