具有熵约束的多阶段均值—绝对偏差模糊投资组合决策

doi:10.12005/orms.2016.0046

摘要/Abstract

摘要： 文章运用可能性绝对偏差和比例熵分别度量风险和分散化程度,提出了具有风险控制和线性交易成本的终期财富最大化的多阶段模糊投资组合模型。运用可能理论,将该模型转化为显示的非线性动态优化问题。由于投资过程存在交易成本,上述模型为具有路径依赖性的动态优化问题。文章提出了前向动态规划方法求解。最后, 通过实证研究比较了不同熵的取值投资组合最优投资比例和最终财富的变化。

关键词: 决策分析, 模糊决策, 前向动态规划方法, 多阶段模糊投资组合, 熵

Abstract: This paper considers a multi-period fuzzy portfolio selection problem maximizing the terminal wealth imposed by risk control, in which risk of assets and the divergence measure of portfolio are, respectively, measured by fuzzy absolute deviation and proportion entropy. Based on the theories of possibility theory, the proposed model is transformed into a crisp nonlinear programming problem. Because of the transaction costs, the multi-period portfolio selection is a dynamic optimization problem with path dependence. Furthermore, a forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm.

Key words: decision-making analysis, fuzzy decision, the forward dynamic programming method, multi-period fuzzy portfolio selection, entropy

中图分类号:

F830.91

张鹏,张卫国,曾玉婷. 具有熵约束的多阶段均值—绝对偏差模糊投资组合决策[J]. 运筹与管理, 2016, 25(2): 71-77.

ZHANG Peng, ZHANG Wei-guo, ZENG Yu-ting. Multi-period Mean-absolute Deviation Fuzzy Portfolio Selection Model with Entropy Constraints[J]. Operations Research and Management Science, 2016, 25(2): 71-77.

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