考虑限制性卖空的多期模糊投资组合优化模型  

A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling

作　　者：陈思豆 黄卓铨 杨兴雨[1] Chen Si-dou;Huang Zhuo-quan;Yang Xing-yu(School of Management,Guangdong University of Technology,Guangzhou 510520,China)

机构地区：[1]广东工业大学管理学院,广东广州510520

出　　处：《广东工业大学学报》2021年第2期39-47,共9页Journal of Guangdong University of Technology

基　　金：国家自然科学基金资助项目(71501049);教育部人文社会科学研究基金资助项目(18YJA630132)。

摘　　要：在实际证券交易中,卖空操作是一种重要的投资手段,因此本文研究考虑限制性卖空的多期模糊投资组合优化问题。将风险资产的收益视为梯形模糊数。在允许卖空的情况下,建立了带单期最低期望收益约束、破产控制约束和投资比例边界约束的多期可信性均值−下半方差−偏度投资组合优化模型。设计了一个改进的多种群粒子群算法对模型进行求解。最后,采用真实股票数据进行数值算例分析,说明了所提出的优化模型和算法的有效性。In the actual stock market,short selling is an important investment vehicle.A multi-period fuzzy portfolio optimization problem with restricted short selling is studied.Firstly,regarding the returns of risky assets as trapezoidal fuzzy numbers,within the situation of short selling,a multi-period credibilistic mean-lower-semivariance-skewness portfolio optimization model is constructed with the minimum expected return constraint for each period,bankruptcy control constraint and bound constraint.Then,a modified multiple particle swarm optimization is designed to solve the model.Finally,a numerical example is given with real stock data to illustrate the effectiveness of the proposed optimization model and algorithm.

关 键 词：多期模糊投资组合 限制性卖空 破产控制约束 多种群粒子群算法 

分 类 号：TP18[自动化与计算机技术—控制理论与控制工程] F830[自动化与计算机技术—控制科学与工程]