Study on the Improved Portfolio Model Based on the PSO

摘要：

Considering the factors of the minimum transaction lots and transaction costs, an improved portfolio selection model is proposed based on the traditional model, so we construct a mean-absoluteerror portfolio model based on constraints of the minimum transaction lots and transaction costs. But the improved model is a nonlinear integer programming problem, is difficult to solve with the traditional methods. Therefore, this paper uses improved particle swarm optimization to solve the improved portfolio model. Through the empirical analysis, indicates that the proposed model and algorithm are effective.

关键词： Portfolio Model Minimum Transaction Lots Absolute Error Particle Swarm Optimization

作者: LI Zhenzhong

作者单位: School of Business Administration, South China University of Technology, Guangzhou, China, 510640

会议类型: 国际会议

会议名称: The 4th (2012) International Conference on Financial Risk and Corporate Finance Management(第四届(2012)金融风险与公司金融国际研讨会 FRCFM)

会议地点: 大连

会议语种:英文

页码: 535-539

在线出版日期: 2012-07-07（万方平台首次上网日期，不代表论文的发表时间）