摘要
对证券投资者而言,投资的收益和风险是其关注的两个主要方面。多目标优化方法可以得到大量的不同投资组合,而投资者往往仅对其中的部分重要投资组合感兴趣,这就需要投资者花费大量的精力选择其感兴趣的投资组合。利用带决策者偏好的多目标优化算法KR-NSGA-II对投资收益和风险进行多目标优化,并通过实证分析进行了验证。从实验结果可以看出,KR-NSGA-II仅搜索投资者感兴趣的投资组合,从而节省了投资者进行选择的大量时间。
To a portfolio investor, the asset return and risk are two important aspects of their concerns. Multi-objective optimization methods can find a large number of different portfolios, but investors are often only interested in a small number of them, and thus investors will spend much time selecting the small number of portfolios. In this paper, a multi-objective optimization algorithm with preference of decision- makers, called KR-NSGA-II, is introduced to optimize the asset return and risk. The effectiveness of KR- NSGA-II is verified by empirical analysis. Experimental results illustrate that KR-NSGA-II only finds the portfolios preferred by investors, hence much time can be saved for investors to select their preferred portfolios.
出处
《合肥师范学院学报》
2015年第3期37-40,共4页
Journal of Hefei Normal University
基金
国家自然科学基金(No.61272152)
安徽省高等学校自然科学研究重点项目(No.KJ2012A010
No.KJ2012A008)
关键词
组合投资
多目标优化
遗传算法
portfolio
multi-objective optimization
genetic algorithm
