基于模糊决策的投资组合优化

房勇;汪寿阳

系统科学与数学 ›› 2009, Vol. 29 ›› Issue (11) : 1517-1526.

PDF(494 KB)
中国科学院数学与系统科学研究院期刊网
PDF(494 KB)
系统科学与数学 ›› 2009, Vol. 29 ›› Issue (11) : 1517-1526. DOI: 10.12341/jssms08482
论文

基于模糊决策的投资组合优化

    房勇, 汪寿阳
作者信息 +

Portfolio Optimization Based on Fuzzy Decision Making

    FANG Yong, WANG Shouyang
Author information +
文章历史 +

摘要

基于模糊决策理论研究了带有成比例交易费用的证券投资组合优化问题. 首先,基于半绝对偏差风险函数和极大极小原则提出了一种新的风险函数--极大极小半绝对偏差风险函数;然后, 引入一种非线性隶属函数更加形象地描述了投资者对投资收益和投资风险的满意程度;在此基础上, 进一步提出了非线性满意程度的模糊决策投资组合选择模型;最后, 针对提出的模型,利用中国证券市场的真实数据给出了数值算例.

Abstract

The business environment is full of uncertainties. Investing in various securities classes may lower the risk of overall portfolio and increase the potential for greater returns. At first, a minimax risk function is proposed to measure the risk of portfolio in the paper. Furthermore, we use fuzzy numbers to describe investors' vague aspiration levels for the excess return and risk and propose a fuzzy decision making model for portfolio selection problem. A numerical example is given to illustrate the behavior of the proposed model.

关键词

投资组合优化 / 模糊决策 / 风险函数 / 交易费用.

Key words

Portfolio optimization / fuzzy decision making / risk function / transaction costs.

引用本文

EndNote

Ris (Procite)

Bibtex

导出引用
房勇 , 汪寿阳. 基于模糊决策的投资组合优化. 系统科学与数学, 2009, 29(11): 1517-1526. https://doi.org/10.12341/jssms08482
FANG Yong , WANG Shouyang. Portfolio Optimization Based on Fuzzy Decision Making. Journal of Systems Science and Mathematical Sciences, 2009, 29(11): 1517-1526 https://doi.org/10.12341/jssms08482
中图分类号： 90B50   
PDF(494 KB)

Accesses

Citation

Detail
段落导航
相关文章

/

〈 〉