【摘要】 现代投资组合理论不断完善与发展，使得如何实现低风险下的收益极大化成为了研究热点。在传统M-CVaR模型的基础上，结合我国证券交易市场的实情，建立考虑交易成本的M-CVaR投资组合模型。引入改进蚁狮算法对该模型进行求解。通过对于多种证券交易的实证分析，验证了该算法的有效性和优越性。更多还原

【Abstract】 The continuous improvement and development of modern portfolio theory makes how to maximize the returns under low risk become a research hotspot. Based on the traditional M-CVaR model, combined with the actual situation of China’s stock exchange market, an M-CVaR portfolio model considering transaction costs is established. An improved ant lion algorithm was introduced to solve this model. Through the empirical analysis of a variety of securities transactions, the effectiveness and superiority of this algorithm were verified.更多还原