Study on the Improved Portfolio Model Based on the PSO
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.
Portfolio Model Minimum Transaction Lots Absolute Error Particle Swarm Optimization
LI Zhenzhong
School of Business Administration, South China University of Technology, Guangzhou, China, 510640
国际会议
大连
英文
535-539
2012-07-07(万方平台首次上网日期,不代表论文的发表时间)