Study on portfolio investment with full transaction cost based on particle swarm optimization
基于PSO的考虑完整费用的证券组合优化研究

This paper first analyzed the characters of no dividing stocks, no short selling and all kinds of transaction cost in Chinese stock market, and established a portfolio optimization model which totally reflected the transaction cost. At last, solved an investment example by particle swarm optimization (PSO). The result not only shows that this optimization model is complete and effect, but also indicates that PSO algorithm can solve the portfolio optimization problem exactly and quickly.