1 / 14

蟻群優化演算法使投資組合最佳化 : 以指數型基金為例

蟻群優化演算法使投資組合最佳化 : 以指數型基金為例. Prof. Hsieh Student: Hsu Yuan-Da. combine. Ant colony optimization (ACO). Index Fund. Sell Point. Few literature to use Ant colony optimization(ACO) to make the best portfolio . The paper use two variables that get high return and low risk in portfolio.

ogden
Download Presentation

蟻群優化演算法使投資組合最佳化 : 以指數型基金為例

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. 蟻群優化演算法使投資組合最佳化:以指數型基金為例蟻群優化演算法使投資組合最佳化:以指數型基金為例 Prof. Hsieh Student: Hsu Yuan-Da

  2. combine Ant colony optimization(ACO) Index Fund

  3. Sell Point Few literature to use Ant colony optimization(ACO) to make the best portfolio. The paper use two variables that get high return and low risk in portfolio.

  4. INTRODUCTION

  5. Index Fund • 基金經理人毋須主觀判斷來持股比例與內容 ，採被動式策略，根據指數變動調整投資組合 ，模擬達到基金績效與指數報酬率趨於一致。

  6. METHOD

  7. Ant Colony Optimization, ACO Dorigo 在1992 年時所提出，這個演算是藉由觀察真實世界中螞蟻的覓食行為，而發展出來的最佳化演算法。 當螞蟻由蟻窩移動至食物端，再將食物搬回蟻窩的過程中，螞蟻總是能建構出一條最短的路徑，而且幾乎所有的螞蟻皆會遵循此路徑移動。

  8. 1.螞蟻傾向選擇高費洛蒙路徑 2.距離較短的路徑，費洛蒙會累積較快 3.螞蟻是通過費洛蒙的存放來做間接溝通 螞蟻會分泌出一種名為費洛蒙，濃度愈高的路徑愈能吸引螞蟻通過該路徑

  9. Ant SystemModel 1. 2. 3.

  10. Update of Pheromone I. II. III. where

  11. combine Ant colony optimization(ACO) Index Fund

  12. Contribution Algorithm combine with financial. Fund manager and investor find best portfolio.

More Related