Research On Admm Algorithm And Its Application In Financial Model

In the financial market,risk and return are two basic coexistence quantities,the portfolio's role is to find a balance between the two basic quantities,namely through the optimization of investment portfolio we can maximize revenue and minimize the risk.In 1952,Markowitz established the mean variance model,and portfolio theory has entered a new era,scholar's research on portfolio optimization continuously.This paper is mainly on the basis of previous results to improve the existed model,besides we choose the algorithm to solve the model according to the model characteristics.1.Considering the impact of transaction costs on the actual investment activities,we add this factor to the original model and construct the model with transaction costs.2.In recent years the research background for the portfolio risk has many achievements,the inportance of the background risk has been realized.Considering the influence of background risk,we add the background risk to the mean-CVaR model and construct the mean-CVaR portfolio model with background risk.Besides we give the efficient frontier of the model.3.According to the characteristics of the above model,an improved particle swarm optimization algorithm is used to solve the model.