The Solution of Single Index Portfolio Selection Model with Transaction Cost by Genetic Algorithm
Xinling Feng, Cuiqing Zhu, Sheng He · Advances in intelligent systems research/Advances in Intelligent Systems Research · 2015
The key to the portfolio optimization problem is to achieve effective income risk allocation.Using single index model brings forward portfolio model with transaction costs and reduces the calculation of the investment portfolio covariance matrix.At the same time, use genetic algorithm to solve objective function and combine actual data to make simulation experiment.It is turned out that genetic algorithm can be used to better solve the model and the results reflect the rationality of the model.