[1]杨东方,李孟雨,王天放,等.数据驱动的扭曲均值-半方差投资组合选择[J].南京师大学报(自然科学版),2023,46(02):7-14.[doi:10.3969/j.issn.1001-4616.2023.02.002]
　Yang Dongfang,Li Mengyu,Wang Tianfang,et al.Mean-Semivariance Portfolio Selection with Distortion Based on a Data Driven Approach[J].Journal of Nanjing Normal University(Natural Science Edition),2023,46(02):7-14.[doi:10.3969/j.issn.1001-4616.2023.02.002]
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数据驱动的扭曲均值-半方差投资组合选择()
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《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第46卷
期数:
2023年02期
页码:
7-14
栏目:
数学
出版日期:
2023-06-15

文章信息/Info

Title:
Mean-Semivariance Portfolio Selection with Distortion Based on a Data Driven Approach
文章编号:
1001-4616(2023)02-0007-08
作者:
杨东方; 李孟雨; 王天放; 米 辉; 刘国祥
(南京师范大学数学科学学院,江苏 南京 210023)
Author(s):
Yang Dongfang; Li Mengyu; Wang Tianfang; Mi Hui; Liu Guoxiang
(School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
关键词:
带概率扭曲的均值-半方差; 投资组合优化; ICA-GA 混合算法; 数据驱动方法
Keywords:
mean-semivariance with probability distortion;  portfolio optimization;  ICA-GA hybrid algorithm;  data driven approach
分类号:
O211; F830
DOI:
10.3969/j.issn.1001-4616.2023.02.002
文献标志码:
A
摘要:
运用样本平均近似的数据驱动方法研究了带概率扭曲的均值-半方差投资组合优化模型,结合经典的遗传算法(ICA)和帝国竞争算法(GA),提出了 ICA-GA 混合算法. 利用真实市场数据,对模型进行实证分析并求解有效前沿. 最后,通过比较算法程序运行时间,表明本文创新的 ICA-GA 混合算法融合了帝国竞争算法和遗传算法两者的优势,比它们有更好的表现.
Abstract:
This paper studies a mean-semivariance portfolio optimization problem with probability distortion by using the data driven sample average approximation(SAA)approach. The paper builds ICA-GA hybrid algorithm based on the traditional imperial competitive algorithm(ICA)and genetic algorithm(GA). Employing the true market data, the model is empirically analyzed and the effective frontier is solved. Finally, by comparing the running time of the computer programs, it shows that the ICA-GA hybrid algorithm in this paper combines the advantages of imperial competitive algorithm and genetic algorithm, and it performs better than them.

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备注/Memo

备注/Memo:
收稿日期:2023-04-27.
基金项目:国家自然科学基金项目(61304065).
通讯作者:米辉,博士,副教授,研究方向:金融数学. E-mail:mihui@njnu.edu.cn
更新日期/Last Update: 2023-06-15