基于模糊收益率的分散化投资组合调整策略

doi:10.12052/gdutxb.200071

Abstract

Abstract: Portfolio selection is one of the core issues in the field of quantitative finance. A diversified portfolio selection strategy is proposed by considering transaction cost and cardinality constraint. Firstly, the return rates of risky assets are regarded as fuzzy numbers and a fuzzy return rate fitting model is proposed to determine the fuzzy distribution of the assets’ return rates. Then, a new diversification measure is proposed for the portfolio and a fuzzy mean-semi-variance-diversification portfolio selection model is established. Next, a modified genetic algorithm is designed to solve the proposed models. Finally, an empirical example with real stock data is used to illustrate the proposed strategy. The results show that the proposed strategy performs better than the conventional portfolio selection strategies.

Key words: fuzzy portfolio model, fuzzy return rate fitting, diversification measure, modified genetic algorithm

CLC Number:

F830

Yang Xing-yu, Liu Wei-long, Jing Ming-yue, Zhang Yong. A Diversified Portfolio Selection Strategy Based on Fuzzy Return Rate[J].Journal of Guangdong University of Technology, 2020, 37(05): 13-21.

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