【摘要】 投资组合面临现实证券市场中大量数据,求解组合模型是一个非线性整数规划问题,传统数学规划算法难以有效求解。为此,本文将粒子群算法应用到基于VaR的投资组合模型中,并通过上海证券交易所的实际数据进行计算机模拟,结果说明该算法所求最优投资组合是实用的和有效的。更多还原

【Abstract】 A great deal of data of the real stock market involves the portfolio selection.This paper introduces the Particle Swarm Optimization(PSO) in the application of the portfolio selection using VaR.And the algorithm is simulated on the computer with the real data from the Exchange of Shanghai Security.The computing result shows that PSO is effective and practicable in the decision of the portfolio selection.更多还原