基于遗传算法的基金投资组合模型研究
首发时间:2007-12-06
摘要:本文基于遗传算法,通过对现有投资组合模型的研究,分析了现有模型不具备风险偏好的不足,针对此不足建立具有不同风险偏好的基金投资组合模型,应用遗传算法,选取上证180样本股的数据,计算了两种不同风险偏好系数下的最优投资比例和投资绩效,与现有的三类基金的投资比例进行了比较分析,并得到了具有不同风险偏好系数的基金投资组合模型适用范围更广的结论。
For information in English, please click here
A study on fund investment combination model based on Genetic Algorithms
Abstract:This paper is based on GA. Through the research of existing investment model ,we analyze the existing model is shortage. So we put forward a different investment model with risk averseness. We apply GA, based on Shanghai stock market 180 data, to count the best investment scale and performance with different risk averseness and to compare with the three existing kind of fund . We get the result of the model with different risk averseness is better than without risk averseness.
Keywords: Fund assets;Risk averseness coefficient Genetic Algorithm
基金:
论文图表:
引用
No.1674917354211969****
同行评议
共计0人参与
勘误表
基于遗传算法的基金投资组合模型研究
评论
全部评论0/1000