【作者】 韩泽华；

【导师】 王玉兰； 胡远来；

【作者基本信息】 成都理工大学 ， 计算数学， 2005， 硕士

【摘要】 遗传算法是一种模拟自然界生物进化的搜索算法,由于它的简单易行、鲁棒性强尤其是不需要专门领域的知识、而仅用适应度函数作为评价来指导搜索过程,从而使它的应用极为广泛,并且已在众多领域得到了实际应用,取得了许多令人瞩目的成果,引起了广大学者和工程人员的关注。 本文的主要内容就是对遗传算法及其混合策略在证券投资组合中的应用进行了一些分析和研究工作,对多因素最优投资组合模型的求解提出了可靠、有效的算法。 本文从应用角度出发,提出了在考虑市场摩擦因素条件下的多因素最优投资组合模型,该模型充分考虑了实际市场的摩擦因素,更适用于解决实际问题。对遗传算法进行了深入细致的研究,并针对实际问题对遗传算法做出了一些改进。此外,为解决实际问题,克服其自身“早熟”、局部搜索能力差的缺点,在算法中引入禁忌搜索算法,从而构成混合遗传算法。混合策略有效结合遗传算法并行的大范围搜索能力和禁忌搜索的局部搜索能力,力图在算法的全局收敛性能和避免局部极小方面有较大的改善,该算法的最大优点是满足收敛性条件。然后将这种混合遗传算法应用于求解多因素最优投资组合模型问题,提出了有效求解该类问题的一种方法。更多还原

【Abstract】 The genetic algorithm is a kind of searching method which simulates the natural evolution. It has been used very broad fields, because genetic algorithm is simple and easy to implement, especially doesn’t need the special field knowledge , and only uses fitness function as an assessment to instruct the search process. Now the genetic algorithm has got a lot of fruits in different application fields, and arose many scholars’ attention.The main content of this paper is analyzing and researching the genetic algorithm and hybrid strategy, and apply it in the portfolio investment. Then, propose a reliable and efficient method to solve the multi-factor and optimal model for portfolio investment.This paper set out from application angle, establish the multi-factor and optimal model for portfolio investment in the condition of considering friction factors in market. Then lucubrate the genetic algorithm meticulously, and make some improvement to the genetic algorithm base on the practice problems. Further introduce tabu search arithmetic, build hybrid genetic algorithm in order to overcome deficient of genetic algorithm such as ahead convergence and short of climbing ability. The hybrid strategy efficaciously combine the ability that parallel search in wide range of genetic algorithm and part search of tabu search arithmetic. The most excellence of this method is satisfied of convergence conditions. Then put this hybrid strategy to solve the multi-factor and optimal model for portfolio investment, propose a method to solve this kind of problem. Last thought practical numerical calculation, get a nicer purpose, proving the validity and feasibility of this hybrid strategy.更多还原