兼容移动市场下的多期模糊投资组合优化模型  

Multi-period Fuzzy Portfolio Optimization Model Compatible with Movement of Market

作　　者：玄海燕 李玥[2] 张玉春 赵晖 XUAN Haiyan LI Yue ZHANG Yuchun ZHAO Hui(School of Economics and Management, Lanzhou University of Technology School of Sciences, Lanzhou University of Technology, Lanzhou 730050, China)

机构地区：[1]兰州理工大学经济管理学院 [2]兰州理工大学理学院,兰州730050

出　　处：《重庆师范大学学报（自然科学版）》2017年第5期128-133,共6页Journal of Chongqing Normal University:Natural Science

基　　金：国家自然科学基金(No.11261031)

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。[Purposes]In order to meet the risk-benefit balance and make a rational investment decision,many criteria need to be taken into consideration,thus making the protfolio optimization model more realistic.[Methods]According to market trends in risk appetite and risk-return trade-off principle,the fuzzy yield is given by fuzzy method.[Findings]This thesis tries to assume that return is a triangular fuzzy variable compatible with movement of market,the thesis proposes a new kind of muti-period fuzzy portfolio optimization model,and the model takes into account transaction costs,the degree of diversification and so on.[Conclusions]Besides,eight Chinese stock market data are selected to make an empirical analysis by using genetic algorithms and compared the results,it confirmed the model with movement of market is more suitable for financial markets.

关 键 词：移动市场 三角模糊变量 投资组合优化 

分 类 号：O221.6[理学—运筹学与控制论]