主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (4): 156-164.

• 论文 • 上一篇    下一篇

存在风险容差约束的模糊投资规划研究

庄新田1, 刘洋1, 金强1,2   

  1. 1. 东北大学工商管理学院, 辽宁沈阳110004;
    2. 中信建投证券有限责任公司, 辽宁沈阳110011
  • 收稿日期:2008-12-30 修回日期:2009-06-28 出版日期:2009-08-30 发布日期:2009-08-30
  • 作者简介:庄新田(1956- ),男(汉族),吉林四平人,东北大学教授,博士生导师,研究方向:金融复杂性和金融工程.
  • 基金资助:

    国家自然科学基金资助项目(70871022)

The Fuzzy Portfolio Programming with Risk Tolerance Constraint

ZHUANG Xin-tian1, LIU Yang1, JIN Qiang1,2   

  1. 1. School of Business Administration, Northeastern University, Shenyang 110004, China;
    2. China Securities Co., Ltd Shenyang 110011, China
  • Received:2008-12-30 Revised:2009-06-28 Online:2009-08-30 Published:2009-08-30

PDF (PC)

1347

被引次数

8

摘要： 在模糊不确定环境下,利用证券价格为梯形模糊数的模糊AR时间序列预测证券价格,描述市场运动趋势,将半绝对偏差风险约束调整为模糊松弛约束,在均值-半绝对偏差框架下,构建出目标函数服从梯形模糊数的可能性分布,风险约束为模糊松弛约束的模糊投资规划,并求得了有效性前沿。采用上证50的15只指标股进行实证检验,表明:规划可以给投资者带来较高的投资满意度水平;规划考虑了市场趋势,具有决策的针对性;风险的容差水平体现了投资者自身评定程度,在不同的市场行情下,风险容差水平具有不同的作用;规划比均值-半绝对偏差模型具有更高的有效性前沿,更加具有投资的针对性。

关键词: 模糊时间序列, 梯形模糊数, 半绝对偏差函数, 容差, 有效性前沿, 满意度

Abstract: In the fuzzy uncertainty environment,we use the fuzzy AR time series in which the security price is trapezoid fuzzy number to forecast the security price and to describe the market movement trend,and also adjust the semi-absolute deviation risk to the fuzzy relaxation constraint. In the framework of the mean semi-absolute deviation,we establish a fuzzy investment programming in which the objective function subjects to the possibility distributing and the risk constraint is the fuzzy relaxation constraint,then obtain the efficient frontier. Using the 15 securities of the SEE 50 to empirically analyze,it shows that the programming can give the investor a higher level of investment satisfaction;the programming considers the market trend and possesses the decision-making pertinence;the risk tolerance level reflects the degree of the investors assessing themselves,and the risk tolerance level has the different effects in the different market;compared with the model of the mean-semi-absolute deviation,the programming owns the higher efficient frontier,and has more investment pertinence.

Key words: fuzzy time series, trapezoidal fuzzy number, semi-absolute deviation function, tolerance, efficient frontier, satisfaction

中图分类号: