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-  2018 


DOI: 10.13543/j.bhxbzr.2018.01.017

Keywords: 可信性理论,模糊流动性,正弦熵,投资组合模型,
credibility theory
,fuzzy liquidity,sine entropy,portfolio model

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Abstract:By introducing the credibility theory and skewness, a mean-variance-skewness-sine entropy (M-V-S-SE) portfolio selection model considering random uncertainty and fuzzy uncertainty, and a mean-variance-skewness-liquidity-sine entropy (M-V-S-L-SE) portfolio selection model with fuzzy liquidity constraints have been established. We forecasted the fuzzy yields using the Markov method. Empirical research was conducted by employing the 2015 stock price data from the Shanghai stock exchange. The results reveal that the M-V-S-L-SE model which includes fuzzy liquidity constraints is more stable and advantageous in terms of improving the income and controlling the risk.


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