计算机工程与应用2011，Vol.47Issue(2)：237-238,241,3.DOI:10.3778/j.issn.1002-8331.2011.02.070
风险效用投资组合模型的遗传算法求解
Genetic algorithm for risk utility portfolio selection model
陈国华 1李军成 1刘世媛1
作者信息
- 1. 湖南人文科技学院数学系,湖南娄底417000
- 折叠
摘要
Abstract
Fractional utility function portfolio selection model is presented.About the largest return and the smallest risk of the portfolio selection problem,a utility function that balances the returns and risks is advanced,and then the portfolio selection model is built based on the nonlinear fractional programming.In order to solve the model,a genetic algorithm is proposed,and the numerical example of it are given.The optimum solution of an example about this portfolio model is given with this new algorithm.关键词
投资组合模型/遗传算法/非线性分式规划Key words
portfolio selection model/genetic algorithm/nonlinear fractional programming分类
管理科学引用本文复制引用
陈国华,李军成,刘世媛..风险效用投资组合模型的遗传算法求解[J].计算机工程与应用,2011,47(2):237-238,241,3.
