Research on Optimizing Security Investment Combination Based on PSO

Abstract

Markowitz proposed the theory of asset portfolio via a mean-variance model for security investment combination in 1952. The issue of security investment is still challenging till now. Intelligence algorithms were flourishing in resent years. Particle Swarm Optimization (PSO) is inspired by social behavior of bird flocking or fish schooling. It is co-operative, population-based global search swarm intelligence meta-heuristics and is applied to solve the model. Based on the theory PSO algorithm mentioned above, a multi-factor and optimal model for portfolio investment in the condition of considering friction factors in China’s security market is established. Additionally, the model is implemented on the demonstrated research of the index stock of index 30, the result could provide scientific foundation for security investment.