考虑风险态度的多期可信性投资组合研究  

A Study of Multi-Period Plausible Portfolios Considering Risk Attitudes

作　　者：贺佳 

机构地区：[1]上海对外经贸大学统计与信息学院,上海

出　　处：《金融》2023年第2期247-261,共15页Finance

摘　　要：以一致模糊数来刻画资产收益和投资者风险态度,并用可信性下半绝对偏差和条件风险值作为风险度量,考虑偏度约束、不允许卖空约束以及交易成本等因素,建立多期多目标模糊投资组合模型,并将理想点法与遗传算法结合对模型进行求解。文章针对投资者不同风险态度,对所提出的多期均值-LAD-CVaR-偏度投资组合模型进行了三次数值求解,通过上海证券交易所真实股票数据验证其可行性和实用性,实证表明投资者采取正确的态度是十分必要的。The consistent fuzzy numbers are used to characterize asset returns and investors’ risk attitudes, and the lower half absolute deviation of plausibility and conditional risk values are used as risk measures. The multi-period multi-objective fuzzy portfolio model is developed by considering the skewness constraint, the no-short-selling constraint and the transaction cost, and the model is solved by combining the ideal point method with the genetic algorithm. The proposed multi-period mean-LAD-CVaR-skewness portfolio model is solved numerically three times for different risk attitudes of investors, and its feasibility and practicality are verified by real stock data from Shanghai Stock Exchange, and the empirical evidence shows that it is necessary for investors to adopt the right attitude.

关 键 词：可信性理论 风险态度 多期模糊投资组合 

分 类 号：F83[经济管理—金融学]