Application of the Improved Differential Evolution Algorithm in Portfolio

被引：0
|
作者：
Ning, Gui-Ying [1 ]
Cao, Dun-Qian [2 ]
Zhou, Yong-Quan [3 ]
机构：
[1] Guangxi Univ Sci & Technol, Lushan Coll, Liuzhou 545616, Guangxi, Peoples R China
[2] Guangxi Univ Nationalities, Coll Math & Comp Sci, Nanning 530006, Peoples R China
[3] Guangxi Univ Nationalities, Coll Informat Sci & Engn, Nanning 530006, Guangxi, Peoples R China
来源：
2017 INTERNATIONAL CONFERENCE ON INFORMATION SCIENCE AND TECHNOLOGY (IST 2017) | 2017年 / 11卷
基金：
中国国家自然科学基金;
关键词：
OPTIMIZATION;
D O I：
10.1051/itmconf/20171101006
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
Aiming at the NP hard problem of portfolio optimization, an improved differential evolution algorithm is proposed. In this algorithm, the mutation operator and crossover operator are set up adaptively, and then according to the characteristics of the mutation itself, two kinds of mutation operators with global search ability and local search ability are improved .The improved algorithm can improve the convergence speed and ensure the precision of the algorithm. Through five stocks of the same type and 20 different types of stocks for empirical analysis, the results show that the proposed algorithm has a certain guiding role in solving the problem of portfolio optimization.
引用
收藏
页数：9
相关论文
共 50 条
  • [1] Application of Improved Differential Evolution Algorithm in Solving Equations
    Ning, Guiying
    Zhou, Yongquan
    [J]. INTERNATIONAL JOURNAL OF COMPUTATIONAL INTELLIGENCE SYSTEMS, 2021, 14 (01)
  • [2] Application of Improved Differential Evolution Algorithm in Solving Equations
    Guiying Ning
    Yongquan Zhou
    [J]. International Journal of Computational Intelligence Systems, 14
  • [3] Application of improved differential evolution algorithm to task assignment
    Wu, Pei-Feng
    Gao, Li-Qun
    Zou, De-Xuan
    [J]. Dongbei Daxue Xuebao/Journal of Northeastern University, 2010, 31 (12): : 1697 - 1700
  • [4] An improved differential evolution algorithm and its application in optimization problem
    Wu Deng
    Shifan Shang
    Xing Cai
    Huimin Zhao
    Yingjie Song
    Junjie Xu
    [J]. Soft Computing, 2021, 25 : 5277 - 5298
  • [5] The application of improved differential evolution algorithm in electromagnetic fracture monitoring
    Qi, Ji
    Zhang, Liming
    Zhang, Kai
    Li, Lixin
    Sun, Jijia
    [J]. ADVANCES IN GEO-ENERGY RESEARCH, 2020, 4 (03): : 233 - 246
  • [6] An improved differential evolution algorithm and its application in optimization problem
    Deng, Wu
    Shang, Shifan
    Cai, Xing
    Zhao, Huimin
    Song, Yingjie
    Xu, Junjie
    [J]. SOFT COMPUTING, 2021, 25 (07) : 5277 - 5298
  • [7] Improved Differential Evolution Algorithm
    Jain, Sanjay
    Kumar, Sandeep
    Sharma, Vivek Kumar
    Sharma, Harish
    [J]. 2017 INTERNATIONAL CONFERENCE ON INFOCOM TECHNOLOGIES AND UNMANNED SYSTEMS (TRENDS AND FUTURE DIRECTIONS) (ICTUS), 2017, : 627 - 632
  • [8] Improved Differential Evolution Algorithm and its Application in Complex Function Optimization
    Dong, XiaoGang
    Liu, Yan
    Deng, ChangShou
    [J]. 26TH CHINESE CONTROL AND DECISION CONFERENCE (2014 CCDC), 2014, : 3698 - 3701
  • [9] An improved self-adaptive differential evolution algorithm and its application
    Deng, Wu
    Yang, Xinhua
    Zou, Li
    Wang, Meng
    Liu, Yaqing
    Li, Yuanyuan
    [J]. CHEMOMETRICS AND INTELLIGENT LABORATORY SYSTEMS, 2013, 128 : 66 - 76
  • [10] Differential Evolution Algorithm for Solving the Portfolio Optimization Problem
    Homchenko, A. A.
    Grishina, N. P.
    Lucas, C.
    Sidorov, S. P.
    [J]. IZVESTIYA SARATOVSKOGO UNIVERSITETA NOVAYA SERIYA-MATEMATIKA MEKHANIKA INFORMATIKA, 2013, 13 (02): : 16 - 16
12345