| 具有现实约束的均值-方差模糊投资组合绩效评价 |
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| 引用本文： | 曾永泉,张鹏. 具有现实约束的均值-方差模糊投资组合绩效评价[J]. 模糊系统与数学, 2020, 34(3): 134-145 |
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| 作者姓名： | 曾永泉 张鹏 |
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| 作者单位： | 仲恺农业工程学院人文与社会科学学院,广东广州510225;华南师范大学经济与管理学院,广东广州 510006 |
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| 基金项目： | 广东省软科学研究计划;广东省软科学研究计划;国家自然科学基金 |
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| 摘 要： | 本文提出了具有实际约束的均值-方差模糊投资组合优化模型。由于实际投资约束情况,如交易成本、交易量限制、借款限制和基数约束的影响,投资组合优化模型非常复杂,难以获得真实前沿面的解析解,这给投资组合理论的应用带来了很大的困难。基于数据的实际约束的均值-方差模糊投资组合DEA评价模型,文章通过构造前沿面来逼近一般情形下真实的前沿面。最后,通过上海证券市场的实际数据验证了本文方法的合理性与可行性。
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| 关 键 词： | 模糊投资组合评价 均值-方差 数据包络分析 有效投资组合 基数约束 |
Measuring the Efficiency of Possibilistic Mean-variance Portfolio Selection with Real Factors Constraints |
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| ZENG Yong-quan,ZHANG Peng. Measuring the Efficiency of Possibilistic Mean-variance Portfolio Selection with Real Factors Constraints[J]. Fuzzy Systems and Mathematics, 2020, 34(3): 134-145 |
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| Authors: | ZENG Yong-quan ZHANG Peng |
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| Affiliation: | (College of Humanities and Social sciences,Zhongkai University of Agriculture and Engineering,Guangzhou 510225,China;School of Economics and Management,South China Normal University,Guangzhou 510006,China) |
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| Abstract: | This paper deals with the problem of an investor who is using a possibilistic mean-variance model with the transaction costs,borrowing constraints,threshold constraints and cardinality constraints for measuring efficiency of investment opportunities.In the proposed model,the return level is quantified by the possibilistic mean value of return,the risk level is characterized by the possibilistic variance of return.In this paper,we use the classic data envelopment analysis(DEA)models to measure portfolio efficiency.In the end,some examples are presented to show the practicality and feasibility of the proposed approach. |
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| Keywords: | Fuzzy Portfolio Evaluation Mean-variance Data Envelopment Analysis Efficient Portfolio Frontier Cardinality Constraints |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
