考虑投资者心理特征的模糊投资组合优化模型  

Fuzzy portfolio optimization model with investors’psychological characteristics

作　　者：杨兴雨[1] 陈锦桂 刘伟龙 张永[1] YANG Xing-yu;CHEN Jin-gui;LIU Wei-long;ZHANG Yong(School of Management,Guangdong University of Technology,Guangzhou 510520,China)

机构地区：[1]广东工业大学管理学院,广州510520

出　　处：《控制与决策》2024年第4期1387-1395,共9页Control and Decision

基　　金：教育部人文社会科学研究基金项目(21YJA630117)。

摘　　要：投资者在实际金融市场中的决策行为往往会受到主观心理认知的影响.考虑参照依赖、敏感性递减和损失厌恶等影响投资决策的心理特征,研究模糊环境下的投资组合选择问题.首先,假设资产的收益为梯形模糊数,依据前景理论中的价值函数,将组合收益转化为体现投资者心理特征的感知价值;然后,以感知价值的可能性均值最大化和可能性下半方差最小化为目标,建立考虑心理特征的模糊投资组合优化模型;接着,为了有效地求解模型,设计一个多种群遗传算法;最后,通过实例分析表明模型和算法的有效性.结果表明,与传统的遗传算法相比,所设计的多种群遗传算法可更有效地求解模型,考虑心理特征的模糊投资组合优化模型能够提升投资者的满意程度,可为实际的投资活动提供决策支持.In real financial markets,investors are often affected by subjective psychological cognition when making decision.We study the portfolio selection problem in fuzzy environment by considering the psychological characteristics such as reference dependence,diminishing sensitivity and loss aversion that affect investment decisions.We assume that the assets’returns are trapezoidal fuzzy numbers,and transform the portfolio return into perceived value that reflects investors’psychological characteristics according to the value function in prospect theory.A fuzzy portfolio optimization model considering the psychological characteristics is established with the objectives of maximizing the possibilistic mean value and minimizing the lower possibilistic semi-variance of the perceived value.Furthermore,in order to solve the proposed model effectively,we design a multiple population genetic algorithm.Finally,we conduct numerical analysis to illustrate the effectiveness of the model and the algorithm.The results show that the multiple population genetic algorithm designed solves the proposed model more effectively than the traditional genetic algorithm,and the fuzzy portfolio optimization model considering the psychological characteristics improves investors’satisfaction level,and thus can provide decision support for actual investment activities.

关 键 词：模糊投资组合 心理特征 前景理论 价值函数 感知价值 多种群遗传算法 

分 类 号：F832.48[经济管理—金融学]