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Finance 2020
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
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Abstract:
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。
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.
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