Constrain Particle Swarm Optimizer for Solving Sel-Financing Portfolio Model
Yanmin Liu, Zhao Qing-zhen · Shuxue de shijian yu renshi · 2011
Based on Markowitz's mean-variance portfolio model,a self-financing portfolio optimal model with constraints of invest proportions is proposed,which is widely used in financial market.In order to effectively solve the optimal solution of this model,a comprehensive learning constraint PSO algorithm is proposed(CPSO for short).In CPSO,the comprehensive learning strategy is adopted,which greatly improve the diversity of the swarm and improve the ability to escape from local optima.The experiments on benchmarks indicate that the proposed algorithm has good performance.And in self-financing portfolio optimal model,the CPSO algorithm is feasible and effective,and the more effective results.