Application of Genetic Algorithm in Index Portfolio Selection
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摘要: 将遗传算法运用于证券指数投资分析，具体解释了染色体、适应值函数在股票投资分析中的实际意义，设计了选择、杂交、变异算子的使用方案，并选用上海证券交易所上证180指数为目标指数进行实证研究。实验结果表明，该算法能够有效地跟踪和模拟180指数。Abstract: his paper introduces a genetic algorithm and its application in index tracking, illustrating the meanings of chromosome, the fitness value parameter in the world of stock market, and designs anapplication scheme of portfolio sel ection, crossbreed, and variation operator. With this algorithm, the authors set up an indexed portfolio by employing Shangzheng180 as benchmark index published by Shanghai Stock Exchange. The experiential study shows that the proposed algo rithm can be used to optimally track the benchmark index of Shangzheng180.
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Keywords:
- portfolio indexation /
- genetic algorithm（GA） /
- chro mosome /
- fitness value parameter
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