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Proceedings of the 26th Chinese Control ConferenceJuly 26-31, 2007, Zhangjiajie, Hunan, China
��������� ��������1�� �1,2��1
1. ���������� �� 071003E-mail: [email protected]
2. ������� ���� 830002E-mail: [email protected]
� ���� Markowitz ������ ���� !"�#$%&'( )*+ !��"�#,-./012
3456789:+12#;< =>+?4 Lingo 12;<@A#BCD
���� !��"� ,-./0 5678 Lingo
On Portfolio Investment Model Using Ant Colony OptimizationAlgorithm
Zhou Jianguo 1�Zhang Hui 1�2�Tian Jiming 1
1. School of Business and Administration North China Electric Power University Baoding 071003 P. R. ChinaE-mail: [email protected]
2. Urumchi Electric Power Bureau Urumchi 830002 P. R. ChinaE-mail: [email protected]
Abstract: Based on Markowitz' theory of asset portfolio a multiple-goal optimization model of portfolio investment was setup considering both risk and return. Then applying ant colony optimization algorithm to solve the model we got a better resultthan that of using Lingo.Key Words: Portfolio investment Multi-objective programming Ant colony algorithm Lingo
1 �(Introduction)
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4 ����(Computational Experiment)
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� !#'(�:;[- (0.151,0.137)R = DA�
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1 -0.188 0.188 0.22 0.26 -0.248 0.13 0.221 0.238 0.44 0.246 0.27 0.25 0.253 -0.246 0.16 0.151 0.137 -
�BE78��#' �/[-5TX
�E� #!"#$� 1Q = X�����
��Q� 0.7ρ = ����$]��% 1α = 12
$]��% 1.5β = &7#0R��[5678;
=#�) &)*F1I8#���) #?/F
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! 1 ! 2 2σ R -.(�
0.3 0.834 0.1659 0.023 0.149 -0.10090.4 0.754 0.2458 0.0187 0.1479 -0.0850.5 0.706 0.2938 0.017 0.1472 -0.06930.6 0.674 0.3257 0.0163 0.1468 -0.05380.7 0.651 0.3486 0.016 0.1465 -0.03480.8 0.634 0.3657 0.0158 0.1462 -0.0229
Lingo$%[A
! 1 ! 2 2σ R -.(�
0.3 0.723 0.277 0.0175 0.1474 -0.09770.4 0.683 0.3172 0.0165 0.1469 -0.08140.5 0.659 0.3414 0.016 0.1464 -0.06510.6 0.643 0.3575 0.0159 0.1463 -0.04890.7 0.631 0.369 0.0158 0.1462 -0.03270.8 0.622 0.3776 0.0157 0.1461 -0.0166
B+ 0.3μ = 0.4μ = 0.5μ = 0.6μ = 0.7μ =
0.8μ = :#4-��D
BCC< T;>�$%[A��J G\/7
8D=#-.(� 6F�G lingo D=-.(�
T\\/78T;<,-./0F1E)�
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/ 1 ()0 !�1/
5 23(Conclusion)
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45678References9
[1] 6��. ����78#,�� !��"�� 12
[J]. !�#3"&#$, 2004, 34(6): 32-37.[2] U%7, ���. ����78#����"���
#1 ��[J]. �E������(�����), 2004,38(4): 37-39.
[3] ��, ���, ���. ����678# !��[J]."�12#9:, 2006, 16: 49-51.
[4] ���. !"#$%&A& 2!4� 12[J]. "#&$%9:, 2006, 21(5): 77-81.
[5] '&, '(). 4��78*+,- !��"�#�!
./[J]. 01�2��, 2002, 17(4): 364-367.[6] 345, 6(J. )*#K+#,�� !��"��
12[J]. 01�2��&3", 2000, 20(22): 37-43.[7] 789. 5678�:T;0,+<��E#=4
[D]. ->��, ?8����, 2002.[8] @A�, 8.�. !��"�129:[J]. /BC�
����, 2002, 15(3): 56-58.[9] Song Xuemei, Li Bing, Li Xiaoying. An improved ant col-
ony optimization solving continuous optimization problem.2006, 23(10): 173-175, 180.
[10] Shelokar P S, et al., Particle swarm and ant colony algo-rithms hybridized[J]. Appl.Math. Comput.2006, 10.
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