摘要
本文以灵活选择投资策略为目的,在Markowitz经典模型的基础上,引入了风险规避参数。并针对风险证券交易费用对投资收益量化过程的影响不容忽视这一事实,建立了含最小交易单位的交易费用函数,得到了改进的含交易费用的实用型资产分配优化模型。并引入投资实例,用分区域多目标进化算法求解,验证了该模型的可行性,以及该算法的高效性。
In order to achieve the purpose of selecting the investment strategy flexibly,this paper introduces the risk aversion parameter based on the classical Markowitz model.Because the effect of Chinese securities market transaction cost can not be ignored in investment income quantization process,this paper establishes the transaction cost function with the minimum trading unit,and finally constructs the improved practical asset allocation model with transaction cost.The investment case is introduced and solved by using the idea of multi-objective evolutionary algorithm based on sub-regional search.The feasibility of the model and the efficiency of the algorithm is verified.
出处
《数学建模及其应用》
2016年第3期45-52,共8页
Mathematical Modeling and Its Applications
基金
广东省教育厅特色创新项目:4G移动通信网络规划的优化设计技术(2014KTSCX055)
