具有现实约束的均值-下半方差模糊投资组合优化研究  

Research on Lower Semi-variance Fuzzy Portfolio Strategy with Real Constraints

作　　者：张鹏 梁楚婷 ZHANG Peng;LIANG Chu-ting(School of Economics and Management,South China Normal University,Guangzhou 510o06,China)

机构地区：[1]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》2022年第4期80-90,共11页Fuzzy Systems and Mathematics

基　　金：广东省软科学项目(2019A101002052,2018A070712030,2019A101002066);广东省社科项目(GD19CGL32)。

摘　　要：在实际投资中,不确定性和现实约束影响着投资决策。为了度量实际投资中的不确定性,本文引入模糊变量,并采用下半方差度量投资组合的风险,考虑一个具有上下界限制、交易成本以及无风险资产借贷约束的均值-下半方差模糊投资组合模型。该模型是一个具有不等式约束的二次规划问题,使用不等式的旋转算法对该模型进行求解。最后,通过“滚动样本”方法,对上述模型与最小方差模型以及等比例模型进行对比与评价。结果表明,本文考虑的模型的夏普比率表现更优。In order to measure the existing uncertainty in portfolio management,fuzzy variables are used to capture the uncertain returns of different securities in this paper.Therefore,this paper considers a lower semi-variance fuzzy portfolio model that takes into account threshold constraints,transaction cost and borrowing constraints.In the above model,the probabilistic standard semivariance is used to measure the risk.The model is a quadratic programming problem with inequality constraints,which is solved by the pivoting algorithm.Finally,based on a“rolling-sample”approach,the out-of-sample performance of the above model is compared with the minimum variance model and the isometric model.The result indicates the best comparative performance for the proposed model.

关 键 词：模糊投资组合模型 下半方差 借贷限制 旋转算法 夏普比率 

分 类 号：O159[理学—数学]