投资组合优化模型的文化算法研究

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1、AbstractPortfolioisanimportantpartofmodemfinancewhichprovidesawaytoallocatethecapitaltoseveralriskassetsinordertominimizetheriskormaximizetheprofit．Atpresent，optimizationmethodsandadvancedcomputationaltechnologyare’usedtosolvetheportfoliooptimizationmodels，

2、especiallytheapplicationofintelligentalgorithms．CulturalalgorithmisarecentlyemergingbionicmteIllgentalgorithmthatprovidesauniversalframeworkofthedouble-layerevolution，whileovercomangthedeftcienciesofthetraditionalintelligentalgorithmfortherecessiveexpressio

3、nandacce88ottneexperienceandknowledge．Withthehelpoftheuniquecomputationalframeworkofculturalalgorithmandthegoodparallel，thisthesiseffectivelyimprovesthealgorithmbyusingtheideaofintegrationandappliestheimprovedhybridalgorithmforsolvingthefunctionoptimization

4、andportfolio0pt蛐1zatlonmodels．Themainworkofthisthesisisasfollows：1．ThisthesismakestheparticleswarmoptimizationembedintoculturalalgorithmasitspopulatlonsDaceandbeliefspace，andproposesanewdynamicparticleswarmoptlmlzatmnbasedonculnlraIalgorithm．Asetofdynamicco

5、mmunicationoperationisdesignedtoachievetheinteractionbetweenthetwosDacesinordertoimproveandovercomethedefectthattheparticleswarmoptimizatlon1seasllYtrappedintothelocaloptimum．ExperimentalresultsofseveralBenchmarkfunctionsshowthatthisalgorithmnotonlyhasahigh

6、precisionbutalsohasastrongrobustness，anditisaneffectiveglobaloptimizationalgorithm．Portfoliodecisionfacingagreatcomplicatedcombinatorialoptimizationproblem，andisdealofdataoftherealsecuritymarketisaNP．hardproblem，whichisdifficulttobesolvedbytraditionalalgori

7、thm．Thisthesisintroducesanewdynamicparticleswarmopti叫zatlonbased0nculturalalgorithmforsolvingthemean·VaRmodel，andusesthepenaltyfunctionapproachtotheinequalityconstraintsinthemodel．AnempiricalanalysisresultsshowthattheproblemofportfoliooDtimizationcanbesolve

8、dmorereasonablyandefficientlybythisalgorithm．2．Basedextemalelitearchiveandcrowdingentropystrategy,thisthesisgwesanewmult卜objectiveDarticleswarrnoptimizationbasedonculturalalgorithm．Firstly,itistestedon