模糊环境中带交易费用的投资组合策略问题

Fuzzy Portfolio Optimization Model with Transaction Costs Based on Mean-absolute Deviation

由于金融市场是波动的,风险资产的预期收益率由于很多不确定性是很难估计的,本文考虑预期收益率是可能性分布(模糊数),并且在此基础上用模糊数的可能性均值表示投资组合的收益,用模糊数的平均绝对偏差表示风险,考虑了交易费用后,得到投资组合模型,最后给出了数值计算的例子.

In securities markets, the expected rates of security returns are difficult to estimate precisely due to many uncertainties. In this paper, we use fuzzy numbers to deal with the uncertainty. Considering the three factors （return, risk and transaction costs） , we obtain a portfolio selection model based on the possibilistic mean and the mean absolute deviation of fuzzy numbers. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.