【摘要】 针对概率准则意义下的组合证券投资模型,采用随机模拟技术和遗传算法相结合的思想,设计出求解算法,并用Matlab语言实现.求解算法适用于证券收益率服从任意分布的情况,甚至不考虑证券收益率分布,用实际数据进行模拟和优化.实例证明,该算法有很好的收敛性及较高的计算效率.更多还原

【Abstract】 A stochastic simulation base genetic algorithm is devised for solving portfolio investment model with probability criterion.The algorithm is programmed by using Matlab.It can solve all kinds of problems of any distribution form,even not considering the distribution of rate of the return.Examples show that this algorithm is convergent and efficient.更多还原