基于模糊决策的投资组合优化

基于模糊决策理论研究了带有成比例交易费用的证券投资组合优化问题. 首先,基于半绝对偏差风险函数和极大极小原则提出了一种新的风险函数--极大极小半绝对偏差风险函数;然后, 引入一种非线性隶属函数更加形象地描述了投资者对投资收益和投资风险的满意程度;在此基础上, 进一步提出了非线性满意程度的模糊决策投资组合选择模型;最后, 针对提出的模型,利用中国证券市场的真实数据给出了数值算例.

PORTFOLIO OPTIMIZATION BASED ON FUZZY DECISION MAKING

The business environment is full of uncertainties. Investing in various securities classes may lower the risk of overall portfolio and increase the potential for greater returns. At first, a minimax risk function is proposed to measure the risk of portfolio in the paper. Furthermore, we use fuzzy numbers to describe investors' vague aspiration levels for the excess return and risk and propose a fuzzy decision making model for portfolio selection problem. A numerical example is given to illustrate the behavior of the proposed model.