房地产开发项目投资组合优化的改进蚁群算法

Abstract

Abstract: Portfolio is an import measure of risk distribution in real estate development.The theory and the algo-rithm of real estate have their shortcoming.We used information entropy to measure the risk.According to the deficiency of the basic Ant Colony Algorithm,specially it is easy to fall into the local extremum and its calculation is complicated.We proposed an improved Ant Colony Algorithm based on the information entropy.The informa-tion entropy is used to control the path selection and evolutional strategy by self-adjusting.Then the improved algorithm is introduced into the real estate portfolio.Application results have shown its efficiency and robustness in solving the real estate portfolio optimization problems.

Key words: real estate, portfolio, Ant Colony Algorithm, information entropy, improved

CLC Number:

F830

ZHOU Shu-jing, LI Yan-cang. Adaptive Ant Colony Algorithm Based on Information Entropy for Real Estate Portfolio Optimization[J]. Chinese Journal of Management Science, 2004, (5): 74-79.

References

[1] James Vercammen. Irreversible investment under uncertainty and the threat of bankruptcy[J].Economics letters,2000, 66:319 - 325.
[2] 李华,等.熵一证券投资组合风险的一种新的度量方法[J].数学的实践与认识,2003,(6):16-21.
[3] Dorigo M, Maniezzo V, Colorni A. Ant system: optimization by a colony of coorperating agents [J]. IEEE Trans on SMC,1996,26(1) :28 - 41.
[4] Dorigo M,Gambardella L M.Ant colony system:a cooperative learning approach to the traveling salesman problem[J]. IEEE Trans on Evolutionary Computing, 1997, 1 ( 1 ): 53- 56.
[5] Colorni A,Dorigo M, Maniezzo V.Ant colony system for job - shop scheduling[J]. Belgian J. of Operations Research Statistics and Computer Science,1994,34(1 ) :39 - 53.
[6] 王笑蓉,吴铁军.Flowshop问题的蚁群优化调度方法[J].系统工程理论与实践,2003,7(5):65-71.
[7] Maniezzo V, Carbonaro A.An ANTS heuristic for the frequency assignment problem[J]. Future Generation Computer Systems,2000,16: 927 - 935.
[8] 张纪会,徐心和.一种新的模拟进化算法--蚁群算法[J].系统工程理论与实践,1999,(3):84-87.
[9] 许国志,顾基发,车宏安.系统科学[M].上海教育出版社,2000.
[10] 邱莞华.管理决策与应用熵学[M].机械工业出版社,2002.
[11] Dorigo M,Luca M.A study of Ant- Q[J].Proceedings of 4th International Conference on Parallel Problem from Nature,Berlin: Springer Verlag, 1996. 656 - 665.
[12] Stutzle T, Hoos H.MAX- min ant system[J].Future Generation Computer systems,2000,16:889 - 914.
[13] Lee SG, Jung TU, Chung TC.An effective dynamic weighted rule for ant colony system optimization[C]. Proc.of the 2001 Congress on Evolutionary Computation, IEEE Press, 2001.
[14] Tsai CF, Tsai CW.A new approach for soloving large salesman problem using evolution ant rules[C]. Neural Networks, IJCNN2002, Proc. Of the 2002 Int' l Joint Conf. on Honolulu,2002,2:1540 - 1545.
[15] Gambardella L M, Dorigo M. HAS - SOP: Hybrid ant system for the sequential problem[R]. Technical Report IDSIA, 1997.
[16] Kawamura, H. et al Improved multiple ant colonies system for Traveling Saleman Problems [J]. In Kozan, e. ohuchi,A. (eds.):Operations Research/Management Science at Work. Kluwer, Boston 2002,41 - 59.
[17] Kawamura, H. et al. Wultiple ant colony algorithm based on colony level interactions [J]. IEICE Transactions, Fundeamentals E83 - A 2000,371 - 379.
[18] LiYanjun, Wu Tiejun An adaptive ant colony system algorithm for continuous - space optimization problems [J].Journal of Zhejiang University SCIENCE, 2004,1: 40 -46.
[19] 陈峻,秦玲.具有感觉和知觉特征的蚁群算地[J].系统仿真学报,2003,15(10):1418-1425.
[20] 陈峻,沈洁,秦玲.蚁群算法进行连续参数优化的新途径[J].系统工程理论与实践,2003,(3):48-53.
[21] 吴庆洪,张纪会,徐心和.具有变异特征的蚁群算法[J].计算机研究与发展,1999,36(10):1240-1245.
[22] 曹浪财,罗键,李天成.智能蚁群算法--蚁群算法的改进[J].计算机研究,2003,10:62-64.
[23] 朱庆保,杨志军.基于变异和动态信息素更新的蚁群优化算法[J].软件学报,2004,15(2):185-192.

Adaptive Ant Colony Algorithm Based on Information Entropy for Real Estate Portfolio Optimization

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 10

[1]	TANG Song-lin, ZHOU Wen-bing, WANG Guo-cheng. House Price Changes, Industry Transfer and Regional Coordinated Development [J]. Chinese Journal of Management Science, 2021, 29(3): 14-23.
[2]	XU Qi-fa, LIU Shu-ting, JIANG Cui-xia. Portfolio Selection with Conditional Skewness Estimated via MIDAS Quantile Regressions [J]. Chinese Journal of Management Science, 2021, 29(3): 24-36.
[3]	HE Chao-lin, TU Bei, WANG Peng. The Effectiveness of Dynamic Mean-variance Portfolio: An Aspect of Time-varying Risk Tolerance [J]. Chinese Journal of Management Science, 2021, 29(1): 1-11.
[4]	XIANG Yin. Interdiction Network Design for Preventing Terrorist Invasion with Asymmetric Information [J]. Chinese Journal of Management Science, 2020, 28(9): 188-198.
[5]	LIU Lin, YANG Wen-yin, HUANG Lin-hua. Research on Growth Optimal Path For Wind Power Technical Talents [J]. Chinese Journal of Management Science, 2020, 28(8): 221-230.
[6]	JIN Bo-yi, YAN Qing-yue, YU Wen-guang. Optimal Mix between Pay-as-you-go and Funding [J]. Chinese Journal of Management Science, 2020, 28(2): 48-57.
[7]	LIU Wei-qi, ZHANG Yan. Asset Pricing and The Proportion of Labor Cost [J]. Chinese Journal of Management Science, 2020, 28(12): 1-11.
[8]	WANG Wei-qing, LIU Xiang-dong, LI Hui-zhong. Does Real Estate Stock Investment Hedge Inflation? Research on Correlation Measurement Based on Markov-switching GRG Copula [J]. Chinese Journal of Management Science, 2020, 28(12): 23-34.
[9]	LIANG Xiao-zhen, WU Zhi-kun, YANG Ming-ge, WANG Shou-yang. Air Passenger Demand Forecasting Based on a Dual Decomposition Strategy and Fuzzy Time Series Model [J]. Chinese Journal of Management Science, 2020, 28(12): 108-117.
[10]	WANG Xi-hui, ZHANG Wen-xin, YU Yu-gang, LIU Bing-bing. An Optimization Model for Emergency Shelter Location and Relief Materials Allocation Considering Human Suffering [J]. Chinese Journal of Management Science, 2020, 28(12): 162-172.
[11]	FEI Wei-yin, ZHANG Fan-hong, YANG Xiao-guang. The Impact of Inflation on Executive's Equity Incentive and Work Effort [J]. Chinese Journal of Management Science, 2020, 28(11): 1-11.
[12]	JIANG Shan-shan, FAN Hong. Stability Analysis of Banking System under Dual Channel Risk Contagion [J]. Chinese Journal of Management Science, 2020, 28(11): 51-60.
[13]	ZHU Peng-fei, TANG Yong, ZHONG Li. Portfolio Strategy Based on Wavelet-High Order Moments model-Take the International Crude Oil Markets as An Research Objects [J]. Chinese Journal of Management Science, 2020, 28(10): 24-35.
[14]	ZHANG Ke-hui, YANG Hua-long, XIN Yu-chen, LIU Qing-qi. Multi-item/Two-stage JIT Joint Replenishment Considering Customer Response to Stock-out [J]. Chinese Journal of Management Science, 2020, 28(10): 118-130.
[15]	CHI Guo-tai, ZHANG Ya-jing, DING Shi-jie. Loan Portfolio Selection Model Based on Power Spectral Risk Measure and Monte Carlo Simulation [J]. Chinese Journal of Management Science, 2019, 27(9): 1-14.