基于非洲秃鹫优化算法的ESG投资组合优化研究
ESG Investment Portfolio Optimization Research Based on the African Vulture Optimization Algorithm
DOI: 10.12677/aam.2024.138347, PDF,   
作者: 杨梦凡, 黄 羿*：吉首大学数学与统计学院，湖南 吉首
关键词: ESG；AVOA；分散化；投资组合优化；ESG； AVOA； Diversification； Portfolio Optimization
摘要: 在可持续性发展的背景下，本文将ESG理念纳入传统均值–方差模型中，由此建立了考虑分散化目标的投资组合优化模型。为减少模型的解陷入局部最优，本文通过AVOA算法求解目标函数所确定的最优策略在中国股票市场上的样本外绩效表现稳健。
Abstract: In the context of sustainable development, this paper incorporates the ESG concept into the traditional mean-variance model, thereby establishing a portfolio optimization model that takes into account diversification objectives. In order to reduce the model’s solution from falling into the local optimum, this paper solves the objective function through the AVOA algorithm. The optimal strategy determined by the sample performance in the Chinese stock market is robust.
文章引用：杨梦凡, 黄羿. 基于非洲秃鹫优化算法的ESG投资组合优化研究[J]. 应用数学进展, 2024, 13(8): 3641-3650. https://doi.org/10.12677/aam.2024.138347

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