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.
When securities rate of returns obeyed normal distribution, a single-period logoptimal 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.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第2期31-36,共6页
Mathematics in Practice and Theory
