基于投资者动态损失厌恶模糊多目标投资组合问题研究  

Research on Fuzzy Multi-objective Portfolio Modelwith Investors’Dynamic Loss Aversion

作　　者：李鹤 金秀[1] 侯羽婷 LI He;JIN Xiu;HOU Yuting(School of Business Administration,Northeastern University,Shenyang 110819,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819

出　　处：《运筹与管理》2024年第7期200-207,共8页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71571041)。

摘　　要：考虑投资者动态损失厌恶和证券市场的模糊不确定性,在可信性框架下以损失厌恶效用、流动性和下方风险为模糊多目标,构建考虑目标重要性的多阶段投资组合选择模型,提出TVSAPSO算法求解模型。以中国股市行业板块的实际数据为背景进行实证分析,研究发现,多阶段资产配置过程中,受动态损失厌恶特征影响,保守投资者倾向于关注流动性目标,偏好防御型行业和无风险资产,积极投资者倾向于关注损失厌恶效用目标,偏好风险型行业和防御型行业;积极投资者在最优期末财富方面的绩效表现优于保守投资者,保守投资者在风险调整后收益方面的绩效表现优于积极投资者。结果表明模糊多目标模型能够满足不同投资者的动态投资需求,为损失厌恶投资者进行多阶段资产配置和风险管理提供了有益的参考。According to non-statistical uncertainty and insufficient historical data in security return forecasts,fuzzy set theory has been applied in the past decades to build portfolio selection models.This paper deals with a multi-objective portfolio selection problem in a fuzzy environment,in which the effects of investors’dynamic asymmetric attitudes to losses and gains on portfolio selection are considered.Due to different dynamic loss aversion characteristics,the portfolio performances of conservative and aggressive investors differ.In the fuzzy multi-objective portfolio model,it is necessary to consider investors’dynamic loss aversion characteristics.In multi-period asset allocation,loss-averse investors adjust their investment strategies dynamically.High liquidity assets are conducive to investors’timely adjustment of asset holdings and improvement of investment return.Because downside risk describes the volatility risk that investors bear when they suffer losses,loss-averse investors pay more attention to the portfolio’s downside risk.To meet the investment needs of dynamic loss-averse investors who pursue high portfolio liquidity and avoid downside risk,a credibilistic portfolio selection model is constructed with dynamic loss-averse utility,liquidity and downside risk as multi-objective,and the multi-stage investment decision-making problem of different types of investors affected by relative wealth changes is explored.Assuming that the return on assets and turnover rate are trapezoidal fuzzy numbers,the expected return,the lower semi-deviation and the expected liquidity of portfolios are derived,and a fuzzy multi-objective portfolio model is constructed under the credibilistic framework.The extended weighted Chebyshev programming method assigns different weights to each goal.The fuzzy multi-objective portfolio model is transformed into a single objective portfolio model,which allows conservative investors and aggressive investors to assign different importance to the investment target to meet the invest

关 键 词：动态损失厌恶 可信性投资组合 模糊多目标优化 TVSAPSO 

分 类 号：F830.91[经济管理—金融学]