遗传算法求投资组合最优解,请给我一段python代码
时间: 2024-09-23 19:15:07 浏览: 42
matlab代码非主导性排序遗传算法nsga3.zip
遗传算法是一种模拟自然选择过程的优化算法,可以用于解决复杂的问题,如投资组合优化。以下是一个简单的Python代码片段,展示了如何使用遗传算法来寻找投资组合的最优权重(假设我们有股票数据和目标收益率),这个例子使用了DEAP库:
```python
from deap import base, creator, tools
import numpy as np
# 假设stock_prices是个包含历史价格的DataFrame,returns是价格变动率
stock_prices = ... # 例如:pd.read_csv('prices.csv')
returns = stock_prices.pct_change()
# 定义问题参数
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, fitness=creator.FitnessMax)
def evaluate(individual):
total_return = sum(returns.iloc[:, i] * individual[i] for i in range(len(individual)))
risk = np.std(np.sum(returns.values * individual.reshape(-1, 1), axis=0))
return 1 / (total_return + risk), # 目标是最大化夏普比率
toolbox = base.Toolbox()
toolbox.register("attr_float", random.uniform, 0, 1)
toolbox.register("individual", tools.initRepeat, creator.Individual, toolbox.attr_float, n=len(returns.columns))
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("evaluate", evaluate)
toolbox.register("mate", tools.cxTwoPoint)
toolbox.register("mutate", tools.mutGaussian, mu=0, sigma=0.1, indpb=0.05)
toolbox.register("select", tools.selTournament, tournsize=3)
pop_size = 50
ngen = 100
pop = toolbox.population(n=pop_size)
for gen in range(ngen):
offspring = toolbox.select(pop, len(pop))
offspring = [toolbox.clone(ind) for ind in offspring]
# 变异操作
for child1, child2 in zip(offspring[::2], offspring[1::2]):
if random.random() < 0.5:
toolbox.mate(child1, child2)
del child1.fitness.values
del child2.fitness.values
# 适应度评估
invalid_ind = [ind for ind in offspring if not ind.fitness.valid]
fitnesses = map(toolbox.evaluate, invalid_ind)
for ind, fit in zip(invalid_ind, fitnesses):
ind.fitness.values = fit
# 更新种群
pop[:] = offspring
# 最终的最优个体
best_solution = tools.selBest(pop, 1)[0]
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