基于EEMD与模糊回归的投资组合选择模型及实证

doi:10.12005/orms.2022.0162

运筹与管理 ›› 2022, Vol. 31 ›› Issue (5): 150-155.DOI: 10.12005/orms.2022.0162

基于EEMD与模糊回归的投资组合选择模型及实证

周晓光, 何倩, 黄晓霞

北京科技大学经济管理学院,北京 100083

收稿日期:2020-09-23 出版日期:2022-05-25 发布日期:2022-07-20
作者简介:周晓光(1977-),男,湖南岳阳人,教授,博士,博士生导师,研究方向:模糊决策与风险评价、投资组合与优化、行为金融。
基金资助:
国家自然科学基金资助项目(71771023,71704010)

Portfolio Selection Model and Empirical Study Based on EEMD and Fuzzy Regression

ZHOU Xiao-guang, HE Qian, HUANG Xiao-xia

School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China

Received:2020-09-23 Online:2022-05-25 Published:2022-07-20

摘要/Abstract

摘要： 随着模糊理论的不断发展与其在证券市场的广泛应用,越来越多的学者关注到参数模糊化对投资组合优化具有重要作用。本文利用集合经验模态分解(EEMD)和模糊线性回归相结合的预测方法,构建了基于对称三角模糊数的投资组合模型。并将提出的模型与集合经验模态分解和普通最小二乘结合的方法、单一模糊线性回归方法进行了对比分析,结果表明基于集合经验模态分解和模糊线性回归建立的投资组合模型最优,这对构建最优投资组合具有参考意义。

关键词: EEMD, 模糊线性回归, 投资组合, 对称三角模糊数

Abstract: With the continuous development of fuzzy theory and its extensive application in the securities market, more and more scholars have paid attention to the importance of fuzzy parameters for portfolio optimization. In this paper, a combination of ensemble empirical mode decomposition (EEMD) and fuzzy linear regression method is proposed to construct a portfolio selection model based on symmetric triangular fuzzy numbers. Compared with the method of ensemble empirical mode decomposition combined with ordinary least squares and single fuzzy linear regression method, the results of empirical study show that the portfolio model based on ensemble empirical mode decomposition and fuzzy linear regression is optimal, which is of reference significance for constructing the optimal portfolio.

Key words: EEMD, fuzzy linear regression, portfolio, symmetric triangular fuzzy number

中图分类号:

F830

周晓光, 何倩, 黄晓霞. 基于EEMD与模糊回归的投资组合选择模型及实证[J]. 运筹与管理, 2022, 31(5): 150-155.

ZHOU Xiao-guang, HE Qian, HUANG Xiao-xia. Portfolio Selection Model and Empirical Study Based on EEMD and Fuzzy Regression[J]. Operations Research and Management Science, 2022, 31(5): 150-155.

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基于EEMD与模糊回归的投资组合选择模型及实证

Portfolio Selection Model and Empirical Study Based on EEMD and Fuzzy Regression

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