限制卖空的不确定多阶段均值-绝对偏差投资组合决策  

Multi-period Mean Absolute Deviation Uncertain Portfolio Decisions-making with Limiting Short-selling Constraints

作　　者：曾永泉 张鹏 ZENG Yong-quan;ZHANG Peng(College of Humanities and Social Sciences,Zhongkai University of Agriculture and Engineering,Guangzhou 510225,China;School of Economics and Management,South China Normal University,Guangzhou 510006,China)

机构地区：[1]仲恺农业工程学院人文与社会科学学院,广东广州510225 [2]华南师范大学经济与管理学院,广东广州510006

出　　处：《模糊系统与数学》2021年第3期59-70,共12页Fuzzy Systems and Mathematics

基　　金：广东省软科学项目(2019A101002052,2019A101002066);广东省社科项目(GD19CGL32);国家自然科学基金资助项目(71271161);湖北省技术创新专项软科学项目(2019ADC030)。

摘　　要：为了处理主观不确定性,本文运用模糊不确定性来衡量投资组合收益率的均值和绝对偏差。考虑一系现实约束条件,构建了限制卖空的不确定多阶段均值-绝对偏差的投资组合模型,并运用离散近似迭代法求解。通过实证研究分别对风险资产卖空比例、风险值和熵值进行灵敏性分析,验证模型和算法的有效性。In order to deal with the subjective uncertainty,this paper uses the uncertainty theory to measure the mean and absolute deviation of the portfolio yield.Considering a set of practical constraints,this paper proposes the multi-period mean absolute deviation uncertain portfolio decisions-making with limiting short-selling constraints,and uses discrete approximation iterative method to solve this model.The empirical research shows the sensitivity analysis of risk asset short selling ratio,risk value and entropy.At the same time,the validity of the model and algorithm is verified by using real data.

关 键 词：多阶段投资组合 均值-绝对偏差 不确定性理论 限制性卖空 离散近似迭代法 

分 类 号：F830[经济管理—金融学]