A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling

Chen Si-dou; Huang Zhuo-quan; Yang Xing-yu

doi:10.12052/gdutxb.200100

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A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling

更新时间：2026-05-27

- A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling
- Vol. 38, Issue 2, Pages: 39-47(2021)
- 作者机构：
  
  广东工业大学管理学院,广东,广州,510520
- 作者简介：
- 基金信息：
- DOI：10.12052/gdutxb.200100
  CLC： TP18;F830
- Online First：10 March 2021，
  
  Published：2021
- 稿件说明：
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陈思豆, 黄卓铨, 杨兴雨. 考虑限制性卖空的多期模糊投资组合优化模型[J]. 广东工业大学学报, 2021, 38(2): 39-47.

Chen Si-dou, Huang Zhuo-quan, Yang Xing-yu. A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling[J]. 2021, 38(2): 39-47.
陈思豆, 黄卓铨, 杨兴雨. 考虑限制性卖空的多期模糊投资组合优化模型[J]. 广东工业大学学报, 2021, 38(2): 39-47. DOI： 10.12052/gdutxb.200100.

Chen Si-dou, Huang Zhuo-quan, Yang Xing-yu. A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling[J]. 2021, 38(2): 39-47. DOI： 10.12052/gdutxb.200100.

摘要

在实际证券交易中

卖空操作是一种重要的投资手段

因此本文研究考虑限制性卖空的多期模糊投资组合优化问题。将风险资产的收益视为梯形模糊数。在允许卖空的情况下

建立了带单期最低期望收益约束、破产控制约束和投资比例边界约束的多期可信性均值−下半方差−偏度投资组合优化模型。设计了一个改进的多种群粒子群算法对模型进行求解。最后

采用真实股票数据进行数值算例分析

说明了所提出的优化模型和算法的有效性。

Abstract

In the actual stock market

short selling is an important investment vehicle. A multi-period fuzzy portfolio optimization problem with restricted short selling is studied. Firstly

regarding the returns of risky assets as trapezoidal fuzzy numbers

within the situation of short selling

a multi-period credibilistic mean-lower-semi-variance-skewness portfolio optimization model is constructed with the minimum expected return constraint for each period

bankruptcy control constraint and bound constraint. Then

a modified multiple particle swarm optimization is designed to solve the model. Finally

a numerical example is given with real stock data to illustrate the effectiveness of the proposed optimization model and algorithm.

关键词

Keywords

references

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