【摘要】 考虑到中国目前证券市场要求股票交易为整手(100股)交易和不允许买空卖空的实际情况,提出了概率准则下投资组合的整数规划模型;设计出了基于遗传算法的随机模拟求解方法,并用Matlab编程在计算机上实现,仿真算例验证了求解方法的可行性和有效性。更多还原

【Abstract】 In this paper,the portfolio selecton problem with the realistic environment of the stock market in China is investigated.Considering that the transaction number is an integer and short sale is not allowed,an integral programming model of portfolio selection with probability criterion is established,and a stochastic simulation based on genetic algorithm is devised for solving the problem.The solving method is programmed by Matlab and realized on computer.Some examples show that this solving method is feasible and effective.更多还原