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5 基于矩阵值因子算法的均值-方差优化模型的粒子群算法求解

Table 5 Particle swarm optimization 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 6.1077698*10-3 6.1636774*10-3 6.0539420*10-3 均值方差 1.05863519*10-2 1.05806035*10-2 1.05980325*10-2 均值收益率 3.100983*10-4 3.100444*10-4 3.098650*10-4