A Portfolio Model with Quadratic Subsection Concave Transaction Costs Based on PSO

作     者：Fasheng Xu~1,Wei Chen~2 1.School of Science,Jinan University.Jinan,250022,P.R.China 2.School of Information,Capital University of Economics and Business,Beijing,100070,China 

会议名称：《2009中国控制与决策会议》

会议日期：2009年

学科分类：0711[理学-系统科学] 07[理学] 08[工学] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 071102[理学-系统分析与集成] 081103[工学-系统工程] 

基　　金：supported by the Social Science ResearchProject of Beijing Municipal Education Commission of China(No.SM200910038005) 

关 键 词：Portfolio Selection Transaction Costs Improved Particle Swarm Optimization 

摘      要：正In this paper,the optimal portfolio selection problem with transaction costs is *** the previous study, the transaction cost is generally assumed as a V-shaped function of difference between the existing and the new portfolio. But,in this study,a portfolio selection model with quadratic subsection concave transaction costs is *** to proposed model is a complex quadratic programming problem which can’t be solved by exact algorithms efficiently,an improved particle swarm optimization（IPSO） is designed to solve ***,a numerical example is given to illustrate our proposed effective approach and the performances of IPSO and standard genetic algorithm（SGA） are compared. Experiment results show that IPSO is clearly superior compared to a SGA.