现实约束下多阶段模糊投资组合的时间一致性策略研究  

Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints

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

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

出　　处：《中国管理科学》2022年第4期42-51,共10页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71271161);广东省社科项目(GD19CGL32)。

摘　　要：考虑交易成本约束、借款约束、阈值约束、收益需求约束和基数约束,本文提出多阶段均值—标准下半方差模糊投资组合模型并讨论了该模型的时间一致性最优投资策略。具体如下:首先,基于可能性理论,将模型转化为非线性动态优化问题;由于标准半方差是不可离散的,模型的最优解不具有时间一致性。其次,为获得时间一致的最优投资策略,本文采用博弈论,将该模型转化为时间一致性动态优化问题,并运用离散近似迭代方法求解。最后,通过具体算例比较不同风险偏好系数、不同基数约束和不同借款约束的最优投资策略,以验证模型和算法的有效性。Considering the borrowing constraints,threshold constraints,return demand and cardinality constraints,a new multiperiod possibislistic mean standard lower semi-variance portfolio selection model is proposed.Based on the possibilistic theory,the proposed model can be transformed into a crisp nonlinear dynamic optimization problem.Because the standard deviation operator is not separable,the optimal solution of the model is not time-consistent.By applying the game theory,the model is transformed into a time-consistentdynamic optimization problem.The discrete iteration method is used to obtain the optimal time-consistent strategy.Finally,the comparison analyses of trade-off parameters,different desired number of risk assets and different borrowing constraints are givento illustrate the idea of the model and the effectiveness of the designed algorithm.

关 键 词：多阶段模糊投资组合模型 均值—标准下半方差 收益需求 时间一致性 离散近似迭代方法 

分 类 号：F830[经济管理—金融学]