广东工业大学学报

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考虑投资者心理账户的模糊资产?负债组合优化模型

陈家琪, 杨兴雨   

  1. 广东工业大学 管理学院, 广东 广州 510520
  • 收稿日期:2023-11-13 出版日期:2024-05-25 发布日期:2024-05-25
  • 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决策,E-mail:yangxy@gdut.edu.cn
  • 作者简介:陈家琪(1998-),女,硕士研究生,主要研究方向为投资组合与风险管理,E-mail:chjiaqii@qq.com
  • 基金资助:
    国家自然科学基金资助项目(72371080) ; 广东省基础与应用基础研究基金资助项目(2023A1515012840) ;广东省哲学社会科学规划项目(GD23XGL022)

Fuzzy Asset-liability Portfolio Optimization Model with Investors' Mental Accounts

Chen Jia-qi, Yang Xing-yu   

  1. School of Management, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2023-11-13 Online:2024-05-25 Published:2024-05-25

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摘要： 现实中投资者在同时管理资产和负债的过程中往往受到心理账户的影响，本文研究模糊环境下考虑投资者心理账户和偿债行为的资产?负债组合优化问题。首先，假设资产收益率和负债增长率均为LR型模糊数，以最大化期望净财富和最小化风险为目标，建立了考虑投资者心理账户的模糊资产?负债组合优化模型。其次，设计了一个粒子群?模拟退火混合智能算法对模型进行求解。最后，选取真实股票数据对建立的模型和求解算法进行实例分析。研究结果表明不同心理账户的投资策略会有差异，提出的模型能够刻画投资者不同的心理预期，可以为实际的投资活动提供决策支持。

关键词: 模糊投资组合, 心理账户, 资产?负债管理, 混合智能算法

Abstract: In reality, investors are often influenced by mental account when they manage assets and liabilities at the same time. Therefore, an asset-liability portfolio optimization problem is considered with investors' mental accounts and debt-paying behavior in fuzzy environment. First, we assume that the return rates of assets and the growth rate of liability are LR-fuzzy numbers, with the objectives of maximizing the possibilistic mean of the net wealth and minimizing its lower semi-absolute deviation, a fuzzy asset-liability portfolio optimization model considering investors' mental accounts is proposed. Second, a novel hybrid intelligent algorithm is designed based on Particle Swarm Optimization and Simulated Annealing to solve it. Finally, based on real stock data, a numerical example is conducted to analyze the model and the solving algorithm. The results show that different mental accounts will have different investment strategies, the proposed model can describe investors' mental account characteristics and provide decision support for actual investment activities.

Key words: fuzzy portfolio, mental account, asset-liability management, hybrid intelligence algorithm

中图分类号: 

  • TP18
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