【摘要】 在证券收益率服从正态分布的假设下,提出了基于V AR风险控制下的单周期LOG-最优资产组合问题,建立了数学模型,证明了最优解的存在性与唯一性,设计了求解该模型的新兴智能优化算法——遗传算法并进行了实例计算与分析.更多还原

【Abstract】 When securities rate of returns obeyed normal distribution,a single-period log-optimal portfolio problem with risk control of value-at-risk was put forward.Its mathematical model was established,and the properties of existence and uniqueness of the optimal solution were proved.Finally,a newly intelligent optimization algorithm,Genetic Algorithm,was adopted to solve the model and an illustrative example with genetic algorithm was provided.更多还原