Study on the Improved Portfolio Model Based on the PSO

摘要

Considering the factors of the minimum transaction lots and transaction costs, an improved portfolio selection model is proposed based on the traditional model, so we construct a mean-absoluteerror portfolio model based on constraints of the minimum transaction lots and transaction costs. But the improved model is a nonlinear integer programming problem, is difficult to solve with the traditional methods. Therefore, this paper uses improved particle swarm optimization to solve the improved portfolio model. Through the empirical analysis, indicates that the proposed model and algorithm are effective.