%0 Journal Article
%T 可信性测度下基于均值–方差–VaR–偏度–正弦熵的模糊投资组合分析<br>Fuzzy Portfolio Analysis Based on Mean-Variance-VaR-Skewness-Sine Entropy under Credibility Measure
%A 于轩
%J Finance
%P 560-567
%@ 2161-0975
%D 2020
%I Hans Publishing
%R 10.12677/FIN.2020.106058
%X 本文在可信性理论的基础上，将资产收益率视为模糊变量，建立了均值–方差–VaR–偏度–正弦熵的多目标模糊投资组合模型，利用遗传算法求解最优投资策略。研究表明：模糊VaR的引入及新模型的构建，有助于更好地刻画资产收益率的风险特征，从而发现更优的投资组合策略。<br />
In this paper, a new fuzzy multi-objective mean-variance-VaR-skewness-sine entropy portfolio model is proposed by assuming the rate of return on the risky asset is a fuzzy variable, based on the credibility theory. In order to solve the proposed model, we design a genetic algorithm. Then, nu-merical examples show that the extension of the model and the introduction of fuzzy VaR are help-ful to characterize the risk characteristics of asset returns and make a contribution to the invest-ment portfolio strategies.<br />
%K 可信性测度，模糊VaR，模糊投资组合模型，模糊夏普比率<br>Credibility Measure
%K Fuzzy VaR
%K Fuzzy Portfolio Model
%K Fuzzy Sharpe Ratio
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=38736