Cultural Algorithm of Portfolio Optimum Problems
Based on Markowitzs theory and research on portfolio selection problem with risk preference, a simple target portfolio investment model, which is a nonlinear optimization problem, is proposed. For solving this model, Cultural Algorithm is produced. The results are a set of the best portfolios, which meet investorsexpectations with different risk preference. The experiment shows that Cultural Algorithm can robustly converge at high speed, because Cultural Algorithm with dual evolutionary levels guides the search process for best solution with experience knowledge obtained from evolution process. Therefore, u sing Cultural Algorithms to solve the portfolio investment problem is more effective.
portfolio risk preference cultural algorithm
LI Lei LI Chenxin
Jiangnan University, P.R.China
国际会议
杭州
英文
119-123
2009-10-25（万方平台首次上网日期，不代表论文的发表时间）