考虑背景风险因素的模糊投资组合选择模型

发布时间：2018-05-23 23:15

本文选题：模糊数 + 风险价值　；参考：《系统工程》2012年12期

【摘要】：在现实金融市场中,交易费用、背景风险等因素对投资者的决策行为具有较大的影响。本文研究了具有模糊收益并且考虑交易成本和背景风险因素的投资组合选择问题。提出的模糊投资组合优化模型不仅反映了投资者对于投资组合的实际收益率和整体风险的要求,而且也考虑了对于风险价值的要求。在假设风险资产收益为正态模糊数的情况下,给出了具有VaR约束和背景风险的具体投资组合选择模型。最后,选取部分股票进行了实证分析,给出了有交易成本且考虑背景风险因素的模糊投资组合有效前沿,并与不考虑背景风险的模糊投资组合有效前沿进行了对比分析。结果表明,考虑背景风险因素能够更好地反映现实经济环境中的投资风险,使投资者能够选择更适合自己的投资组合。
[Abstract]:In the real financial market, the factors such as transaction cost and background risk have great influence on investors' decision-making behavior. In this paper, the problem of portfolio selection with fuzzy return and considering transaction cost and background risk is studied. The fuzzy portfolio optimization model not only reflects the requirements of the investors for the real return rate and the overall risk of the portfolio, but also takes into account the requirements for the value of risk. Under the assumption that the return of risky assets is a normal fuzzy number, a specific portfolio selection model with VaR constraints and background risks is presented. Finally, some stocks are selected for empirical analysis, and the effective frontier of fuzzy portfolio with transaction cost and background risk factors is given, and compared with the effective frontier of fuzzy portfolio without considering background risk. The results show that considering the background risk factors can better reflect the investment risk in the real economic environment and enable investors to choose a more suitable investment portfolio.
【作者单位】：华南理工大学工商管理学院;宁夏大学数学计算机学院;
【基金】：国家杰出青年科学基金资助项目(70825005) 教育部新世纪优秀人才支持计划项目(NCET-10-0401) 国家自然科学基金面上项目(71171086) 宁夏自然科学基金资助项目(NZ12162)
【分类号】：F830.59;F224

【相似文献】