Utility Maximization Investment Portfolio Model And Its Solution Algorithm

In financial market,how to allocate funds rationally,make investment risk minimization and maximize revenue is a hot issue.Portfolio utility theory is an effective way to optimize portfolio.Based on the utility function and combined with some research results,a new utility function is proposed,and an improved utility maximization model is established.According to the characteristics of the established model,the algorithm of the model is designed.The empirical analysis shows that the improved utility maximization model proposed in this paper is feasible and the algorithm is effective.The specific contents are as follows:Based on the advantages of semi-variance and semi-absolute deviation,a scheme of improving the utility maximization model with semi-variance and semi-absolute deviations is proposed.Further,a utility maximization investment portfolio model based on mean-CVaR is proposed.Due to this model is a complex nonlinear programming problem,particle swarm optimization algorithm is used to solve the model.In order to improve the accuracy of particle swarm optimization,a particle swarm optimization algorithm based on simplex method is proposed.Numerical experiments show that the improved algorithm improves the accuracy of the solution.