A Genetic Algorithm for Solving Portfolio Optimization Problems with Transaction Costs and Minimum Transaction Lots
A Genetic Algorithm for Solving Portfolio Optimization Problems with Transaction Costs and Minimum Transaction Lots
复制标题
求解具有交易成本和最小交易手数的投资组合优化问题的遗传算法
DOI：
10.1007/11539902_99
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Minqiang Li
中科院分区：
文献类型：
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作者：
D. Lin;Xiaoming Li;Minqiang Li
针对具有交易成本和最小交易手数的投资组合再平衡优化问题，提出了一种均值-方差模型。将投资组合优化问题建模为非光滑非线性整数规划问题。设计了一种基于实值遗传算子的遗传算法来求解该模型。算例表明，遗传算法能有效地解决投资组合再平衡优化问题。
A mean-variance model is proposed for portfolio rebalancing optimization problems with transaction costs and minimum transaction lots. The portfolio optimization problems are modeled as a non-smooth nonlinear integer programming problem. A genetic algorithm based on real value genetic operators is designed to solve the proposed model. It is illustrated via a numerical example that the genetic algorithm can solve the portfolio rebalancing optimization problems efficiently.