基于非洲秃鹫优化算法的模糊投资组合优化研究  

African Vulture Optimization Algorithm for Fuzzy Portfolio Optimization Problem

作　　者：倪百秀 杨子怡 施明华 NI Baixiu;YANG Ziyi;SHI Minghua(Schoolof Finance&Mathematics,West Anhui University,Lu'an 237012,China;Anhui Provincial Key Laboratory of Philosophy and Social Sciences for Data Intelligence and Rural Revitalization of Dabie Mountains,Lu'an 237012,China)

机构地区：[1]皖西学院金融与数学学院,安徽六安237012 [2]数据智能与大别山乡村振兴安徽省哲学社会科学重点实验室,安徽六安237012

出　　处：《皖西学院学报》2024年第1期73-79,共7页Journal of West Anhui University

基　　金：安徽省高等学校省级人文社会科学研究重大项目(SK2021ZD0075,2022AH040240);安徽省质量工程教学研究重点项目(2021jyxm1657);皖西学院校级人文社会科学研究重点项目(WXSK202108)。

摘　　要：实际投资组合中金融资产的收益和风险普遍存在不确定性。引入模糊变量,采用下半方差作为风险度量方式,建立均值-下半方差模糊投资组合优化模型,并采用非洲秃鹫优化算法进行求解。选取2018年1月至2023年1月期间十只股票的周收盘价数据进行实证研究,并与粒子群优化算法、蝴蝶优化算法、黑猩猩优化算法和鲸鱼优化算法等四种仿生智能优化算法进行比较。研究结果表明,非洲秃鹫优化算法能够有效求解均值-下半方差模糊投资组合优化模型,能为投资者的实际投资决策提供有价值的参考。Uncertainty is prevalent in the returns and risks of financial assets within real investment portfolios.This paper addresses this issue by introducing fuzzy variables and employing the lower semivariance as a risk measurement method.A mean-semivariance fuzzy portfolio optimization model is established and solved using the African vulture optimization algorithm.Empirical research is conducted using weekly closing price data from ten stocks between January 2018 and January 2023,comparing the results with four bionic intelligent optimization algorithms,namely particle swarm optimization algorithm,butterfly optimization algorithm,Artificial gorilla troops optimizer and whale optimization algorithm.The results demonstrate that the effective application of the African vulture optimization algorithm in solving the mean-lower semivariance fuzzy portfolio optimization model,thereby offering valuable guidance for investors'practical investment decisions.

关 键 词：模糊投资组合优化 隶属度函数 均值-半方差模型 非洲秃鹫优化算法 

分 类 号：F830.59[经济管理—金融学]