| 遗传算法在我国证券市场中的应用 |
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| 引用本文： | 赵光磊.遗传算法在我国证券市场中的应用[J].山东教育学院学报,2007,22(5):32-35,40. |
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| 作者姓名： | 赵光磊 |
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| 作者单位： | 山东经济学院统计与数学学院,山东,济南,250014 |
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| 摘 要： | 分析我国证券市场现状的基础上,根据不允许卖空、并考虑交易成本的情况下,建立了多因素证券组合投资决策模型,然后利用遗传算法研究了模型的求解,进行了实证研究。
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| 关 键 词： | 多因素 风险 组合投资 遗传算法 |
| 文章编号： | 1008-2816（2007）05-0032-04 |
| 修稿时间： | 2007-05-09 |
The Application of Genetic Algorithm on The Security Market |
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| Zhao GuangLei.The Application of Genetic Algorithm on The Security Market[J].Journal of Shandong Education Institute,2007,22(5):32-35,40. |
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| Authors: | Zhao GuangLei |
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| Institution: | School of Statistics and Mathematics, Shandong Economic Institute, Jinan 250014, China |
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| Abstract: | In this article,as far as the transaction cost is concerned,a multi-factor model for portfolio investment decision is established based on arbitrage pricing theory under the condition of no short sale,and then its solution is studied with the help of genetic algorithm.The method is tested and the expected results are obtained. |
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| Keywords: | Multi-factor Risk Portfolio choice Genetic algorithm |
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