文档介绍：华中科技大学
硕士学位论文
基于蚁群算法的投资组合优化研究
姓名:余超
申请学位级别:硕士
专业:金融学
指导教师:欧阳红兵
2010-05
华中科技大学硕士学位论文
摘要
投资组合理论于 1952 年由经济学家马科维茨提出。采用传统的二次规划方法解
决投资组合优化问题时需要极大的计算量,可操作性较差。随着现代优化技术的发
展,出现了如蚁群算法这样的仿生优化算法。本文基于多目标优化连续域蚁群算法,
建立投资组合优化模型,以期得到更好效果。
本文分为五个章节,各章主要内容如下:
第一章简要介绍了论文的研究背景和相关理论国内外研究现状。简要介绍了本
文的研究内容和研究方法。
第二章分别介绍了蚁群算法的基本原理和数学模型,以及投资组合理论的基本
原理和数学模型。
第三章详细阐述了基于蚁群算法的投资组合优化方法。建立了基于蚁群算法的
投资组合优化数学模型。给出详尽具体的算法实现方法和步骤。
第四章对模型所得结果进行实证检验分析。将运行结果与市场组合及其他投资
组合比较,验证算法的有效性。同时还用单指数评价方法和传统评价方法对投资组
合的择时能力进行检验。
第五章对本文的研究结果进行总结,同时总结了不足之处以及下一步研究方向。
本文创新点有以下两点:
首先,本文尝试采用改进的多目标连续域蚁群算法建立模型,将可以处理的证
券数量提高到数百只,达到了实际应用的水平。
其次,当前的研究成果仅是静态分析,本文考虑多阶段投资组合优化,建立动
态模型,并对结果进行实证检验。

关键词:投资组合优化蚁群算法 Markowitz 模型
I
华中科技大学硕士学位论文
Abstract
The theory of Portfolio was first put forward by the economist named Markowitz in
1952, and it has great importance to modern financial investment theory. However, there
are some diffculties in dealing with Portfolio optimization according to traditional
quadratic programming, due to putation and poor operational probability. As the
development of modern optimization techniques, bionic optimization algorithm such as
ant colony algorithm(short for ACA) appeared. At present, the domestic research about the
application of ACA binatorial Investment Optimization is limited and it still can’t
reach the level of practical application. In this thesis, a portfolio optimization model was
established based on continuous ant colony algorithm domain of multi-objective
optimization and it can achieve practical application on the whole.
There are five chapters in this article. The main content of each chapter is as follows:
In Chapter one, the background of this paper、the current state at home and abroad about
the study of portfolio optimization theory、the content and research methods of the thesis
are briefly introduced. The basic principle and mathematical model of ACA、portfolio
theory and its optimization method ba