考虑限制性卖空的多期模糊投资组合优化模型

陈思豆; 黄卓铨; 杨兴雨

doi:10.12052/gdutxb.200100

欢迎来到能源电力期刊网！

English Version 期刊登录

您当前的位置：

首页 >

文章列表页 >

考虑限制性卖空的多期模糊投资组合优化模型

综合研究 | 更新时间：2026-05-27

- 考虑限制性卖空的多期模糊投资组合优化模型
- A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling
- 广东工业大学学报 2021年38卷第2期页码：39-47
- 作者机构：
  
  广东工业大学管理学院,广东,广州,510520
- 作者简介：
  
  陈思豆(1996–)，女，硕士研究生，主要研究方向为投资组合与风险管理
  杨兴雨(1981–)，男，教授，主要研究方向为金融工程与在线金融算法，E-mail：yangxy@gdut.edu.cn
- 基金信息：
  
  国家自然科学基金资助项目(71501049);教育部人文社会科学研究基金资助项目(18YJA630132)
- DOI：10.12052/gdutxb.200100
  中图分类号： TP18;F830
- 网络首发：2021-03-10，
  
  纸质出版：2021
- 稿件说明：
移动端阅览
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

MARKOWITZ H. Portfolio selection [J]. The Journal of Finance, 1952, 7(1): 77-91.

LI J, XU W J, ZHANG W G. Bi-objective portfolio selection model and algorithm with background risk [J]. Operations Research and Management Science, 2017, 26(4): 118-123.

YANG X Y, LIU W L, JING M Y, et al . A diversified portfolio selection strategy based on fuzzy return rate [J ] . Journal of Guangdong University of Technology, 2020, 37(5): 13-21.

YUE W, WANG Y P, XUAN H J. Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures [J]. Soft Computing, 2019, 23(17): 8159-8179.

ZADEH L A. Fuzzy sets [J]. Information and Control, 1965, 8(3): 338-353.

LIU Y J, ZHANG W G. Fuzzy portfolio selection model with real features and different decision behaviors [J]. Fuzzy Optimization and Decision Making, 2018, 17(7): 1-20.

KAR M B, KAR S, GUO S N, et al . A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms [J ] . Soft Computing, 2019, 23(12): 4367-4381.

ZENG Y Q, ZHANG P. Measuring the efficiency of possibilistic mean-variance portfolio selection with real factors constraints [J]. Fuzzy Systems and Mathematics, 2020, 34(3): 134-145.

LI W M, DENG X. Multi-parameter portfolio selection model with some novel score-deviation under dual hesitant fuzzy environment [J]. International Journal of Fuzzy Systems, 2020, 22(4): 1123-1141.

LIU B D, LIU Y K. Expected value of fuzzy variable and fuzzy expected value models [J]. IEEE Transactions on Fuzzy Systems, 2002, 10(4): 445-450.

KAMDEM J S, DEFFO C T, FONO L A. Moments and semi-moments for fuzzy portfolio selection [J]. Insurance Mathematics and Economics, 2012, 51(3): 517-530.

WANG C J, DENG X. Mean-entropy-skewness portfolio model based on credibility theory and its algorithm solution [J]. Operations Research and Management Science, 2019, 28(2): 154-159.

ZHANG P. Random credibilitic portfolio selection problem with different convex transaction costs [J]. Soft Computing, 2019, 23(24): 13309-13320.

LIU M M, GAO Y. Portfolio selection with short sales in a frictional market [J]. Chinese Journal of Management Science, 2006, 14(5): 23-27.

ZHANG P, ZHANG Z Z, ZENG Y Q. The optimization of the portfolio selection with the restricted short sales [J]. Application and Statistics and Management, 2008, 27(1): 124-129.

LI C, LU Z H, HU J L, et al . Portfolio optimization problem solving under concave transaction costs [J ] . Computer Engineering and Design, 2017, 38(12): 3258-3266.

SUN W, ZHANG W G, ZHANG Q, et al . Fuzzy random portfolio model with investment limited [J ] . Fuzzy Systems and Mathematics, 2015, 45(24): 51-60.

GUO S N, YU L, LI X, et al . Fuzzy multi-period portfolio selection with different investment horizons [J ] . European Journal of Operational Research, 2016, 254(3): 1026-1035.

GUPTA P, MEHLAWAT M K, YADAV S, et al . Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models [J ] . Soft Computing, 2020, 24(16): 11931-11956.

XU W J, LUO W Q, ZHANG W G. Multi-project portfolio model with bankruptcy risk [J]. Operations Research and Management Science, 2013, 22(6): 92-98.

LIU Y J, ZHANG W G, ZHANG Q. Credibilistic multi-period portfolio optimization model with bankruptcy control and affine recourse [J]. Applied Soft Computing, 2016, 38: 890-906.

CAO J L. Algorithm research based on multi period fuzzy portfolio optimization model [J]. Cluster Computing, 2019, 22(2): 3445-3452.

GUERRA M L, STEFANINI L. Approximate fuzzy arithmetic operations using monotonic interpolations [J]. Fuzzy Sets and Systems, 2005, 150(1): 5-33.

SAMUELSON P. The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments [J]. Review of Economic Studies, 1970, 37: 537-542.

RAHIMI M, KUMAR P. Portfolio optimization based on fuzzy entropy [J]. International Journal on Interactive Design and Manufacturing, 2019, 13(2): 531-536.

LIN C C. A weighted max-min model for fuzzy goal programming [J]. Fuzzy Sets and Systems, 2004, 142(3): 407-420.

ZHANG W G, ZHANG X L, XU W J. A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments [J]. Insurance: Mathematics and Economics, 2010, 46(3): 493-499.

浏览量

下载量

CSCD

文章被引用时，请邮件提醒。

提交

工具集

关联资源

储能变流器电能质量治理策略研究

SCA-YOLO: 基于可变形卷积与上下文感知注意力的实时目标检测

多套餐共享储能模式下考虑功率互济的社区联盟优化运行策略

融合沟道倾斜角的3D NAND存储单元建模及编程策略优化

基于PSI技术的福州市地面形变监测与影响因素分析