广东工业大学学报 ›› 2021, Vol. 38 ›› Issue (02): 39-47.doi: 10.12052/gdutxb.200100

• 综合研究 • 上一篇    下一篇

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   

  1. 广东工业大学 管理学院, 广东 广州 510520
  • 收稿日期:2020-08-13 出版日期:2021-03-10 发布日期:2021-01-13
  • 通信作者: 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 E-mail:yangxy@gdut.edu.cn
  • 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
  • 基金资助:
    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)

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

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

  1. School of Management, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2020-08-13 Online:2021-03-10 Published:2021-01-13

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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。

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

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.

Key words: multi-period fuzzy portfolio selection, restricted short selling, bankruptcy control constraint, multiple particle swarm optimization

中图分类号: 

  • TP18
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