光滑多目标投资组合优化模型及其求解方法

2021 International Conference on Information Technology and Biomedical Engineering (ICITBE) Pub Date : 2021-12-01 DOI:10.1109/ICITBE54178.2021.00048

Chun-an Liu, T. Jiang

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引用次数: 0

摘要

本文首先提出了一个不允许卖空的光滑多目标投资组合数学模型。其次，为了获得位于真投资组合最优前沿的足够数量的均匀分布的投资组合最优解，设计了求解光滑多目标投资组合模型的多目标遗传算法。最后，通过四个主题基准组合测试问题对所设计算法的性能进行了仿真。性能评价表明，与两种典型的多目标遗传算法相比，该算法收敛速度更快，收敛到真投资组合最优前沿的效果更好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Smooth Multiobjective Portfolio Optimization Model and Its Solving Method

A smooth multiobjective portfolio mathematics model without short selling being allowed is put forward in this paper firstly. Secondly, to obtain a sufficient number of uniformly distributed portfolio optimal solutions located on the true portfolio optimal front, a multiobjective genetic algorithm solving the smooth multiobjective portfolio model is designed. Finally, the performance of the designed algorithm is simulated by four topical benchmark portfolio test problems. The performance evaluations illustrate that the proposed algorithm can obtain faster and better convergence to the true portfolio optimal front compared with two typical multiobjective genetic algorithms.

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2021 International Conference on Information Technology and Biomedical Engineering (ICITBE)

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