基于累积前景理论的可变下标犹豫模糊语言多准则投资组合优化  

Multi-criteria portfolio optimization of variable subscripts hesitant fuzzy linguisitic based on cumulative prospect theory

作　　者：周晓光[1] 何欣 ZHOU Xiao-guang;HE Xin(School of Economics and Management,University of Science&Technology Beijing,Beijing 100083,China)

机构地区：[1]北京科技大学经济管理学院,北京100083

出　　处：《控制与决策》2022年第9期2389-2398,共10页Control and Decision

基　　金：国家自然科学基金项目(71771023)。

摘　　要：将累积前景理论的价值函数引入投资组合决策,从行为金融学的角度对传统整数犹豫模糊语言术语集下标进行改进,改进后的可变下标犹豫模糊语言术语集不仅可以反映投资人对金融产品的不确定程度,还能描述投资人给出评价本身时对收益或损失的心理感知.在单投资者多准则评价视角下,利用可变下标的犹豫模糊语言多准则投资组合评价系统对不同股票进行量化评价,针对激进型、稳健型和保守型3类投资者分别提出收益最大化、风险最小化犹豫模糊语言投资组合模型,通过对等价非线性模型求解得到投资组合的最优解.最后,利用数值仿真验证所提出模型和方法的有效性.The value function of the cumulative prospect theory is introduced into portfolio selection,and the traditional integer subscripts hesitant fuzzy linguistic set is improved from the perspective of behavioral finance.The improved variable subscripts hesitant fuzzy linguistic set can not only reflect investors’uncertainty about financial products,but also describe investors’psychological perception of gains or losses when giving evaluations.From the angle of singleinvestor multi-criteria evaluation,different stocks are quantitatively evaluated by the hesitant fuzzy language multi-criteria portfolio evaluation system based on variable subscripts.Maximum returns and minimum risks hesitant fuzzy linguistic portfolio models are proposed for the three types of investors:aggressive,moderate and conservative.The optimal solutions of hesitant fuzzy language portfolio are obtained by solving the equivalent nonlinear models.Finally,numerical simulations verify the effectiveness of the proposed models and methods.

关 键 词：犹豫模糊语言 多准则 投资组合 累积前景理论 可变下标 

分 类 号：F830[经济管理—金融学]