兼容移动市场下的多期模糊投资组合优化模型

发布时间：2018-02-02 06:55

本文关键词： 移动市场三角模糊变量投资组合优化　出处：《重庆师范大学学报(自然科学版)》2017年05期 　论文类型：期刊论文

【摘要】：【目的】理性的投资决策需要满足风险收益均衡目的,同时还需要考虑很多标准,从而使得投资组合优化模型更贴合实际。【方法】根据市场发展趋势的风险偏好以及风险收益权衡原则,运用模糊的方法给出模糊收益率。【结果】假设收益率为兼容移动市场下的非对称三角模糊变量,不仅给出了一种新型的多期模糊投资组合优化模型,而且在模型中还考虑了交易成本、多元化程度等因素。【结论】最后选取中国股票市场的8支股票数据,用遗传算法进行了实证分析,还对结果进行了对比,证实兼容移动的市场因素的模型更符合实际的金融市场。
[Abstract]:[objective] rational investment decisions need to meet the goal of risk-return balance, but also need to consider a number of criteria, Thus making the portfolio optimization model more realistic. [methods] according to the risk preference of the market trend and the risk-return trade-off principle, The fuzzy return rate is given by fuzzy method. [results] assuming that the return rate is an asymmetric triangular fuzzy variable in compatible mobile market, not only a new multi-period fuzzy portfolio optimization model is given, but also a new multi-period fuzzy portfolio optimization model is proposed. Moreover, the factors such as transaction cost and diversification degree are also considered in the model. [conclusion] finally, eight stock data from Chinese stock market are selected, and the results are analyzed empirically by genetic algorithm, and the results are compared. Models that prove compatible with mobile market factors are more in line with actual financial markets.
【作者单位】：兰州理工大学经济管理学院;兰州理工大学理学院;
【基金】：国家自然科学基金(No.11261031)
【分类号】：F832.51;O159
【正文快照】： Markowitz[1]最初提出了投资组合选择的均值-方差模型,从而奠定了现代投资组合分析的基础。适当的投资组合模型可以更好地分配投资者的财富,Speranza[2]、Konno等人[3]在平均绝对偏差模型基础上提出了一种混合整数规划模型,用于考虑最小交易量和最大数量的证券,且设计了一个简

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