带有模糊流动性约束的均值-方差-偏度-正弦熵投资组合优化模型  

A mean-variance-skewness-sine entropy model with fuzzy liquidity constraints for portfolio selection

作　　者：宋燕玲 周荣喜[2] 蔡小龙[1] 赵庆亮[1] 

机构地区：[1]北京化工大学经济管理学院,北京100029 [2]对外经济贸易大学金融学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2018年第1期103-108,共6页Journal of Beijing University of Chemical Technology(Natural Science Edition)

基　　金：国家自然科学基金(71631005);教育部人文社会科学研究规划基金(16YJA630078)

摘　　要：通过引入可信性偏度及模糊流动性约束,分别建立了同时满足随机不确定和模糊不确定情形下的均值-方差-偏度-正弦熵(M-V-S-SE)的投资组合模型和带有模糊流动性约束的均值-方差-偏度-正弦熵(M-V-S-L-SE)投资组合优化模型。然后运用马尔科夫方法求解模糊收益率,利用上海证券交易所数据进行实证研究。结果表明:模糊流动性约束的引入使得模型更加稳定,在提高收益、控制风险等方面更具有优势。By introducing the credibility theory and skewness, a mean-variance-skewness-sine entropy （M-V-S- SE） portfolio selection model considering random uncertainty and fuzzy uncertainty, and a mean-variance-skewness- liquidity-sine entropy （M-V-S-L-SE） portfolio selection model with fuzzy liquidity constraints have been estab- lished. We forecasted the fuzzy yields using the Markov method. Empirical research was conducted by employing the 2015 stock price data from the Shanghai stock exchange. The results reveal that the M-V-S-L-SE model which includes fuzzy liquidity constraints is more stable and advantageous in terms of improving the income and controlling the risk.

关 键 词：可信性理论 模糊流动性 正弦熵 投资组合模型 

分 类 号：F224[经济管理—国民经济] F830.9