Zhu Lixi and Wu Yuyu. Research on Self-financing Effective Portfolio Based on Fuzzy Genetic Algorithm. Dynamic Systems and Applications 29 (2020) No. 4, 1539 – 1551

https://doi.org/10.46719/dsa202029439

ABSTRACT.
With the continuous development of China’s market economy and the continuous improvement of the financial market, at present, investors’ demand for investment is becoming more and more diversified. It is of practical significance to study portfolio investment in the investment process to maximize returns and minimize risks. The goal of portfolio selection is to minimize investment risks and maximize returns, which is actually a decision-making problem with two objectives. These two goals are generally opposite and incompatible with each other, so it is difficult to achieve them at the same time. Genetic algorithm technology can quickly and effectively establish a set of positive portfolio strategy, especially in the construction of large-scale portfolio, the target portfolio can be quickly established, the advantages are very obvious. In this paper, a portfolio optimization model based on fuzzy genetic algorithm is established, and the corresponding dynamic adjustment mechanism is proposed. The model is solved by intelligent algorithm, and the validity of the model is verified by the actual historical data of the stock market.

Key words: Financial market; Portfolio; Securities