带固定交易费用的模糊投资组合

Fuzzy Portfolio with Fixed Transaction Costs

基于区间规划的方法,研究了带固定交易费用下的模糊投资组合模型.在模型中引进正态隶属函数;考虑投资组合风险偏好时,修改了一般投资组合中风险偏好方法定义方法,使其更符合区间规划;在考虑未来回报率时,考虑了符合实际情况的因素——涨跌停板;引进新的流动性的定义方法,改正了以往用换手率带来的缺陷.

This paper, based on the interval planning method, studies the fuzzy portfolio selection modelwith fixed transaction costs. The model introduces the function of normal membership,and at the same time,considers the portfolio risk preference. The general portfolio risk preference method definition method is thus modified,which is more consistent with the interval programming, and taking into ac- count the future rate of return, considers the actual situation factors-limit up and limit down. New liquidi- ty definition method is introduced, and the previous defect brought out by turnover rate is overcome.