Optimization of Security Investment Portfolio Based on Improved Simulated Annealing Algorithm

摘要

Considered of multi-local optimal solution in investment portfolio, the paper proposed an improved Simulated Annealing Algorithm. This algorithm applied multiplicator function which transform security investment model into nonrestraint optimization problem, optimized key process and parameter of basal Simulated Annealing Algorithm. It also solved initial temperature and how to get the result, balanced speed and precision, then improved efficiency of algorithm. At last, this paper used date to validate the feasibility of algorithm.