| 考虑限制性卖空的多期模糊投资组合优化模型 |
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| 引用本文： | 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. |
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| 作者姓名： | 陈思豆 黄卓铨 杨兴雨 |
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| 作者单位： | 广东工业大学 管理学院, 广东 广州 510520 |
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| 基金项目： | 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) |
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| 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。
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| 关 键 词： | 多期模糊投资组合 限制性卖空 破产控制约束 多种群粒子群算法 |
| 收稿时间： | 2020-08-13 |
A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling |
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| Chen Si-dou,Huang Zhuo-quan,Yang Xing-yu.A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling[J].Journal of Guangdong University of Technology,2021,38(2):39-47. |
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| Authors: | Chen Si-dou Huang Zhuo-quan Yang Xing-yu |
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| Affiliation: | School of Management, Guangdong University of Technology, Guangzhou 510520, China |
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| 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. |
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| Keywords: | multi-period fuzzy portfolio selection restricted short selling bankruptcy control constraint multiple particle swarm optimization |
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