标题:
基于遗传–蚁群算法的证券组合投资优化研究Research on Protfolio Investment Optimization Based on Genetic-Ant Colony Algorithm
作者:
王慧颖, 衣梦涵, 刘昊
关键字:
证券组合投资, 多目标规划, 遗传算法, 蚁群算法, 算法融合Portfolio Investment, Multi-Objective Programming, Genetic Algorithm, Ant Colony Algorithm, Algorithm Fusion
期刊名称:
《Modeling and Simulation》, Vol.5 No.4, 2016-11-29
摘要:
基于Markowitz资产组合理论，综合考虑证券投资的风险和收益，建立证券组合投资的多目标规划模型，融合遗传算法和蚁群算法应用于上述模型的求解。具体地，将具有快速全局搜索能力的遗传算法产生的问题初始解转化为蚁群算法的初始信息分布，再对蚁群进行遗传操作，最后利用蚁群算法的并行性、正反馈机制、求解效率高的特征寻求最优解。实验结果表明：上述两种算法的融合在求解质量和效率上均优于单独的遗传算法或蚁群算法。
Based on the Markowitz portfolio theory, the multi-objective programming model of portfolio investment is established when considering the risk and return of portfolio investment. The genetic algorithm and ant colony algorithm are combined and applied to solve the above model. In detail, the initial solution of problems which is generated by the genetic algorithm with fast global searching ability is transformed into the initial information distribution of the ant colony algorithm. And then we carry on the genetic operation to the ant colony. Finally, we use the ant colony algorithm parallelism, positive feedback mechanism and the solution efficiency high characteristic to seek the optimal solution. Experiments show that: the fusion of the two algorithms has better behaviors on the quality and efficiency than separate genetic algorithm or ant colony algorithm.