基于矩阵值因子算法的企业年金投资组合建模与并行求解

杜首燕,陆忠华

Modeling and Parallel Computed Enterprise Annuity Portfolio Based on Matrix-Valued Factor Algorithm

Du Shouyan,Lu Zhonghua

表4 基于矩阵值因子算法的均值-方差优化模型的遗传算法求解

Table 4 Genetic algorithm for solving the mean-variance optimization model based on matrix-valued factor algorithm

期望收益率 0.006 0.01 0.014 最好方差 6.0580778*10-3 6.1109119*10-3 6.1362942*10-3 均值方差 1.04191136*10-2 1.04067780*10-2 1.04282729*10-2 均值收益率 3.498385*10-4 3.491871*10-4 3.496381*10-4