基于最小交易量和交易费用的多阶段模糊投资组合  

The Fuzzy Portfolio Selection Model of Multi-period with Minimum Transaction Lots and Transaction Costs

作　　者：王竟竟[1] 陈国华[1] 余星[1] 

机构地区：[1]湖南人文科技学院数学与金融学院,湖南娄底417000

出　　处：《数学的实践与认识》2016年第15期150-158,共9页Mathematics in Practice and Theory

基　　金：湖南人文科技学院青年基金项目(2014QN04);湖南省教育厅重点项目(12A077)

摘　　要：考虑了在摩擦市场下的多阶段模糊投资组合模型,基于半绝对方差风险函数,建立了带有最小交易量和交易费用限制的收益最大化多阶段模糊投资组合模型.利用绝对值函数的性质,将模型转化为混合整数线性规划形式,并通过实例验证了模型的可行性,最后对模型与基于可能性均值和可能性方差的多阶段模糊投资组合模型进行了对比,分析了模型的优越性,并验证了模型的可行性.This paper deals with a multi-period fuzzy portfolio selection problem in the frictional market.We propose a multi-period fuzzy portfolio selection model with the objective function of maximizing the terminal wealth.In the proposed model,we take the return,the semi-absolute deviation,minimum transaction lots and transaction costs into consideration.Based on the nature property of absolute value function,we transform the proposed model into a mixed integer linear program model.Moreover,a numerical example is established to test the model.Finally,we introduced the multi-period mean-variance fuzzy portfolio model,compared the advantages and disadvantages of the two models,and used a numerical example to verify our results.

关 键 词：最小交易量 半绝对偏差 梯形模糊数 多阶段投资组合 

分 类 号：F224[经济管理—国民经济] F830.91