共查询到18条相似文献,搜索用时 218 毫秒
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建立了基于可信性理论的投资组合模型,包括风险最小的单目标均值-方差模型和收益最大的单目标均值-方差模型,运用拉格朗日乘数法对两个模型进行了求解,给出了2个模型解析解的表达式,并通过数值算例验证了模型的可行性.对两个模型的结果进行对比,发现风险最小化和收益最大化的单目标均值—方差模型得到的结果基本吻合. 相似文献
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均值方差模型广泛应用于行为、教育、医学、社会和心理学的研究.经典的极大似然估计对于异常点和分布扰动易受影响.本文基于目标函数最小化给出稳健估计,并基于稳健偏差提出模型拟合. 相似文献
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由于金融市场是波动的,风险资产的预期收益率由于很多不确定性是很难估计的,本文考虑预期收益率是可能性分布(模糊数),并且在此基础上用模糊数的可能性均值表示投资组合的收益,用模糊数的平均绝对偏差表示风险,考虑了交易费用后,得到投资组合模型,最后给出了数值计算的例子. 相似文献
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均值-方差效用函数在证券组合投资决策中的应用 总被引:3,自引:0,他引:3
本文利用均值—方差效用函数,按期望效用最大化准则建立并分析了证券组合投资决策模型。在投资者的效用函数为指数型效用函数时,得到了两基金定理分离权重的计算公式。得出了在均值——方差效用函数条件下期望效用最大化准则与M—V期望收益最大化准则一致的结论。 相似文献
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再保险-投资的M-V及M-VaR最优策略 总被引:1,自引:0,他引:1
考虑保险公司再保险-投资问题在均值-方差(M-V)模型和均值-在险价值(M-VaR)模型下的最优常数再调整策略.在保险公司盈余过程服从扩散过程的假设及多风险资产的Black-Scholes市场条件下,分别得到均值-方差模型和均值-在险价值模型下保险公司再保险-投资问题的最优常数再调整策略及共有效前沿,并就两种模型下的结... 相似文献
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在考虑道德风险的情况下,以均值方差准则为目标研究保险人最优投资问题.假设保险盈余过程服从C-L模型,金融市场上存在一种无风险资产和一种风险资产可供投资,其中风险资产的价格过程服从几何布朗运动.在纯道德风险保险契约设计中,借鉴相关研究对努力水平和效用化努力成本的假设,量化道德风险对盈余过程的影响.在均值方差目标下,建立保险人最优投资问题的广义Hamilton-Jacobi-Bellman(HJB)方程,给出保险人时间一致的均衡投资策略和价值函数.结果显示累计索赔比例参数越大,公司对最优努力水平越敏感,采取措施降低道德风险有利于公司收益提升;努力成本参数越大,公司会降低努力水平减少支出,避免损失. 相似文献
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Portfolio optimization problem is concerned with choosing an optimal portfolio strategy that can strike a balance between maximizing investment return and minimizing investment risk. In many cases, the return rate of risky asset is neither a random variable nor a fuzzy variable. Then, it can be described as an uncertain variable. But, the existing works on uncertain portfolio optimization problem fail to find an analytic solution of optimal portfolio strategy. In this paper, we define a new uncertain risk measure for the modeling of investment risk. Then, an uncertain portfolio optimization model is formulated. By introducing a new variable, we transform it into an equivalent bi-criteria optimization model. Then, we derive a method for the construction of the set of analytic Pareto optimal solutions. Finally, a numerical simulation is carried out to show the applicability of the proposed model and the convenience of finding the analytic solution. 相似文献
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在直觉模糊集理论基础上,用梯形模糊数表示直觉模糊数的隶属度和非隶属度,进而提出了梯形直觉模糊数;然后定义了梯形直觉模糊数的运算法则,给出了相应的证明,并基于这些法则,给出了梯形直觉模糊加权算数平均算子(TIFWAA)、梯形直觉模糊数的加权二次平均算子(TIFWQA)、梯形直觉模糊数的有序加权二次平均算子(TIFOWQA)、梯形直觉模糊数的混合加权二次平均算子(TIFHQA)并研究了这些算子的性质;建立了不确定语言变量与梯形直觉模糊数的转化关系,并证明了转化的合理性;定义了梯形直觉模糊数的得分函数和精确函数,给出了梯形直觉模糊数大小比较方法;最后提供了一种基于梯形直觉模糊信息的决策方法,并通过实例结果证明了该方法的有效性。 相似文献
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In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respectively. In order to solve these models under fuzzy environment, a hybrid intelligent algorithm is designed by integrating numerical integration, fuzzy simulation and genetic algorithm. Finally, several numerical examples are given to illustrate the modeling idea and the effectiveness of the proposed algorithm. 相似文献
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This paper deals with a minimum spanning tree problem where each edge cost includes uncertainty and importance measure. In risk management to avoid adverse impacts derived from uncertainty, a d-confidence interval for the total cost derived from robustness is introduced. Then, by maximizing the considerable region as well as minimizing the cost-importance ratio, a biobjective minimum spanning tree problem is proposed. Furthermore, in order to satisfy the objects of the decision maker and to solve the proposed model in mathematical programming, fuzzy goals for the objects are introduced as satisfaction functions, and an exact solution algorithm is developed using interactive decision making and deterministic equivalent transformations. Numerical examples are provided to compare our proposed model with some previous models. 相似文献
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Xiaoxia Huang 《Fuzzy Optimization and Decision Making》2012,11(4):451-463
Portfolio selection is concerned with selecting an optimal portfolio that can strike a balance between maximizing the return and minimizing the risk among a large number of securities. Traditionally, security returns were regarded as random variables. However, there are cases that the predictions of security returns are given mainly based on experts’ judgements and estimations rather than historical data. In this paper, we introduce a new type of variable to reflect the subjective estimations of the security returns. A risk index for uncertain portfolio selection is proposed and a new safe criterion for judging the portfolio investment is introduced. Based on the proposed risk index, a new mean-risk index model is developed and its crisp forms are given. In addition, to illustrate the application of the model, two numerical examples are also presented. 相似文献
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在实际的投资决策过程中,一些投资者需要同时管理资产和负债,因此本文研究考虑破产控制和偿债行为的资产-负债管理问题。假设风险资产的收益率和负债的增长率为模糊数,用资产-负债组合的可能性期望和下半绝对偏差度量其收益和风险,以最大化最终期望净财富和最小化最终累积风险为目标,建立了允许限制性卖空的多期模糊资产-负债组合优化模型。然后,设计了一个基于粒子群算法和模拟退火算法的混合智能算法对模型进行求解。最后,通过实例分析说明了所设计算法与传统粒子群算法相比具有更好的优化性能和稳定性。本文所提出策略可以为需要同时管理资产和负债的投资者提供决策支持。 相似文献