Research on portfolio selection model based on genetic algorithms

被引：0
|
作者：
Zhou, HT [1 ]
Fei, Q [1 ]
Liu, XK [1 ]
机构：
[1] Huazhong Univ Sci & Technol, Inst Syst Engn, Wuhan 430074, Peoples R China
来源：
PROCEEDINGS OF 2002 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II | 2002年
关键词：
portfolio selection; the mean-variance model; the mean-variance-skewness model; genetic algorithms; dynamic genetic algorithms;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper describe the traditional mean-variance model, point to its drawback. On the basis of this, we discuss rationality of the mean-variance-skewness model to the securities market, but its computation is more complexity than the traditional mean-variance model's. So we pitch out the genetic algorithms to solve the mean-variance-skewness model, design a new genetic algorithm (the dynamic genetic algorithm) for this model. Lastly, an experiment is also made, with result showing the proposed algorithm is effective to solve the mean-variance-skewness model.
引用
收藏
页码：1661 / 1665
页数：5
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