考虑破产控制的多期模糊资产-负债组合优化模型

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。

Multi-period Fuzzy Asset-liability Portfolio Optimization Model with Bankruptcy Control

Considering that some investors need to manage both assets and liabilities in the real investment decision-making process, we study an asset-liability management problem with bankruptcy control and debt-paying behavior. Assuming that the return rates of risky assets and the growth rate of liability are fuzzy numbers, we measure the return and risk of the asset-liability portfolio by its expected value and lower semi-absolute deviation. With objectives of maximizing the final expected net wealth and minimizing the final cumulative risk, we build a multi-period fuzzy asset-liability portfolio optimization model allowing restricted short selling. Then, we design a hybrid intelligent algorithm based on Particle Swarm Optimization and Simulated Annealing to solve the proposed model. Finally, using a numerical example based on real data, we illustrate that the designed algorithm is more effective and stable than the traditional PSO. The proposed strategy can provide decision support for investors who need to manage both assets and liabilities.