Research On Optimization Model Of Practical Asset Allocation With Transaction Cost

In recent years,the stock exchange market continues to be hot.In such a good investment background,the questions of how to effectively avoid risks,and how to construct a reasonable and scientific optimization model of the investment portfolio urgently need to be answered,which gets wide attentions and researches from the government and scholars both at home and abroad.The current optimization models of the investment portfolio contains Markowitz's mean-variance model,capital asset pricing model,arbitrage pricing theory etc.A variety of algorithms for each model are excogitated as well.From the analysis of the recent A share market,it is found that Markowitz's theory has certain application values for large fund and asset management.However the actual stock markets are always exchanged on the platform of securities companies.So the proportion of the exchange cost in the actual stock exchange markets can not be ignored,which means an important preset point in Markowitz's theory---no exchange cost would not apply to the matter of investment portfolio in the securities exchange market.Based on Markowitz's classical theory,this article establishes a more practical optimization model for asset allocation after improvement,introduces examples of actual investment and uses the multi-area and multi objective evolutionary algorith m for solution.The detailed contents of the article are as below:Firstly,it introduces risk aversion parameter,puts forward the improved Markowitz's model and confirms two optimizing targets,namely the the multi-objective optimization model with maximum profit and minimum risk.After a deep research on the imposing rules of the exchange cost in the securities market,in a unit of one hand(100 shares),the article constructs a function of exchange cost and introduces it into the improved Markowitz model,deals with securities data by tools of kinds of functions and excel forms combing with instances,and makes up the solutions by multi-area multi-objective evolutionary algorithm so as to obtain a solution which is relatively satisfied.Secondly it researches the practical optimization model for asset allocation with exchange cost of the risk-free securities,improves the corresponding constraints,makes up the solutions by multi-area multi-objective evolutionary algorithm so as to obtain the investment results conforming with the theory by setting the parameter value.Finally it researches the practical optimization model for asset allocation with exchange cost,with 0-1 random variable being added into the constraint condition,separately limits the upper and lower line of the investment proportion in order to flexibly restrain the number of the investment projects,and verifies the original purpose of the model--balance the profit and risk of the investment through the model simulation.