具有交易成本的均值-绝对偏差模糊投资组合优化

Optimization of mean-absolute deviation fuzzy portfolio selection with transaction cost

考虑到资产收益率的模糊不确定性,提出具有交易成本和交易量限制的均值-绝对偏差模糊投资组合优化模型。运用可能性理论将该模型转化为显式的线性规划问题,并采用改进的旋转算法进行求解。最后通过实证研究证明该模型和算法的有效性,讨论了资产收益率为梯形模糊数的情况下投资者针对现有投资组合的调整策略。

Considering the fuzzy uncertainty of the return on assets ,this paper proposes a mean‐abso‐lute deviation fuzzy portfolio selection model with transaction cost and threshold constraints .Based on the possibility theory ,the model is transformed into an explicit linear programming problem .An im‐proved pivoting algorithm is adopted to obtain the optimal portfolio strategy .Finally ,an example is given to illustrate the effectiveness of the proposed model and algorithm ,and show the investors how to adjust the portfolio selection when the return on assets is trapezoidal fuzzy number .