Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2017, Vol. 34 ›› Issue (1): 21-30.doi: 10.3969/j.issn.1005-3085.2017.01.003

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Portfolio Model Based on Hybrid Quantum Particle Swarm Optimization with Empirical Research

GAO Yue-lin,   YU Ya-ping   

  1. Institute of Information & System Science, Beifang University of Nationalities, Yinchuan 750021
  • Received:2014-10-15 Accepted:2016-01-12 Online:2017-02-15 Published:2017-04-15
  • Supported by:
    The National Natural Science Foundation of China (61561001); the Foundation of Research Projects of Beifang University of Nationalities (2015KJ10).

Abstract:

In this paper, the portfolio model with the constraints of a number of assets and the proportion of investment is established on the basis of the Markowitz mean-variance model. For solving the model and the simulated actual investment, a quantum particle swarm hybrid algorithm is constructed by differential evolution and chaotic search. Numerical experiments show that the proposed algorithm is effective, and that the proposed hybrid algorithm performs better than other improved particle swarm optimization algorithm, differential evolution algorithm, genetic algorithm, simulated annealing algorithm and tabu search algorithm. Besides, the empirical results show that the proposed algorithm is a good solution to the portfolio model, and the simulation results show that the proposed model is effective.

Key words: portfolio, quantum particle swarm, hybrid algorithm, empirical analysis

CLC Number: