基于累积前景理论的可变下标犹豫模糊语言多准则投资组合优化研究
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北京科技大学经济管理学院

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F830

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国家自然科学基金项目(面上项目,重点项目,重大项目)


Research on Multi-criteria Portfolio Optimization of Variable Subscripts Hesitant Fuzzy Linguisitic Based on Cumulative Prospect Theory
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School of economics and management, University of Science and Technology Beijing

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    摘要:

    将累积前景理论的价值函数引入投资组合决策,从行为金融学的角度对传统整数犹豫模糊语言集下标进行改进,改进后的可变下标犹豫模糊语言术语集不仅可以反映投资人对金融产品的不确定程度,还能描述投资人给出评价本身时对收益或损失的心理感知。在单投资者多准则评价视角下,利用可变下标的犹豫模糊语言多准则投资组合评价系统对不同股票进行量化评价,针对激进型、稳健型和保守型三类投资者分别提出了收益最大化、风险最小化犹豫模糊语言投资组合模型,通过对等价非线性模型求解得到投资组合的最优解。最后,利用数值仿真验证了本文所提模型和方法的有效性。

    Abstract:

    The value function of cumulative prospect theory is introduced into portfolio selection, and the traditional integer subscripts hesitant fuzzy linguistic set is improved from the perspective of behavioral finance. The improved variable subscripts hesitant fuzzy linguistic set can not only reflect investors" uncertainty about financial products, but also describe investors" psychological perception of gains or losses when giving evaluations. From the angle of single-investor multi-criteria evaluation, different stocks are quantitatively evaluated by the hesitant fuzzy language multi-criteria portfolio evaluation system based on variable subscripts. Maximum returns and minimum risks hesitant fuzzy linguistic portfolio models are proposed for the three types of investors: aggressive, moderate and conservative. The optimal solutions of hesitant fuzzy language portfolio are obtained by solving the equivalent nonlinear models. Finally, numerical simulations verify the validity of the models and methods proposed.

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历史
  • 收稿日期:2021-01-23
  • 最后修改日期:2021-04-22
  • 录用日期:2021-05-12
  • 在线发布日期: 2021-07-01
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