计算机与数字工程2019，Vol.47Issue(8)：1869-1873,1894,6.DOI:10.3969/j.issn.1672-9722.2019.08.005
人工蜂群算法在投资组合问题中的优化应用
Research on Improvement of Artificial Bee Colony Algorithm for Portfolio Problems
摘要
Abstract
Based on the idea of artificial bees colony,the mean-variance(CCMV)model with cardinality constraint in portfo?lio problem is solved in this paper. In the solving process,a FABC algorithm which can always get feasible solution is designed for CCMV model. Then the updated equation of FABC is improved,the guidance of the current optimal solution is added,and a faster convergence rate of IFABC algorithm is gotten. Finally,IFABC algorithm is further improved based on quadratic programming,and a better QFABC algorithm is proposed. Test the market data,and compare the performance of the three algorithms,the results show that QFABC optimization effect is the best,but the running time is long;The optimization effect of IFABC algorithm is close to that of QFABC algorithm and the running time is short.关键词
人工蜂群算法/投资组合问题/二次规划Key words
artificial bees colony/portfolio problem/quadratic programming分类
信息技术与安全科学引用本文复制引用
张懿..人工蜂群算法在投资组合问题中的优化应用[J].计算机与数字工程,2019,47(8):1869-1873,1894,6.基金项目
国家自然科学基金项目(编号:71803179) （编号:71803179）
浙江省教育厅科研项目(编号:Y201533943) （编号:Y201533943）
台州市哲学社会科学规划课题成果(编号:18GHQ11) （编号:18GHQ11）
台州职业技术学院校级青年课题(编号:2016QN06)资助. （编号:2016QN06）
