| 用微粒群算法求解含交易费用的组合投资模型 |
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| 引用本文： | 夏梦雨,叶春明,徐济东. 用微粒群算法求解含交易费用的组合投资模型[J]. 上海理工大学学报(社会科学版), 2008, 30(4) |
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| 作者姓名： | 夏梦雨 叶春明 徐济东 |
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| 作者单位： | 上海理工大学管理学院,上海200093 |
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| 基金项目： | 上海市重点学科建设资助项目(T0502) |
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| 摘 要： | 针对国内证券交易的具体情况，提出了含交易费用的投资组合优化模型。利用微粒群算法对问题进行了求解，并结合实际数据进行仿真。结果表明，利用微粒群算法可以较高的效率求解该模型，且从结果上表明模型的合理性。
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| 关 键 词： | 投资组合 微粒群算法 Matlab软件 |
Solution of portfolio investment model including transaction fee with particle swarm algorithm |
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| XIA Meng-yu,YE Chun-ming,XU Ji-dong. Solution of portfolio investment model including transaction fee with particle swarm algorithm[J]. Journal of University of Shanghai For Science and Technilogy(Social Science), 2008, 30(4) |
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| Authors: | XIA Meng-yu YE Chun-ming XU Ji-dong |
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| Abstract: | Considering the real situation in securities' transaction in China,a portfolio investment model including transaction fee was proposed,and a solution was obtained with particle swarm optimization.The results of real data simulations show that the model can be solved reasonably and effectively by use of particle swarm algorithm. |
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| Keywords: | portfolio investment particle swarm optimization Matlab software |
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