具有投资限制的风险资产模糊随机投资组合模型

Fuzzy Random Portfolio Model with Investment Limited

研究了模糊随机环境下风险资产投资组合选择问题.利用模糊随机变量刻画风险资产的收益率,建立了具有投资限制的风险资产投资组合选择的一般模糊随机均值-方差模型,该模型包括了是否允许卖空及具有投资比例下界约束的情况.在此基础上,提出了具有梯形模糊随机收益率的具体投资组合优化模型,这些模型能够转化为二次规划问题求解.最后,利用上证50指数中的9种股票对模型进行了实证分析,结果表明模型能够有效分散非系统性风险.

This paper studies the risk asset portfolio selection problem under fuzzy random environment. By using fuzzy random variables characterize the rate of return of risk assets, the establishment of a general fuzzy stochastic mean-variance portfolio model with risky assets investment proportion constraints, the model includes the conditions of whether to allow short selling and investment proportion lower bound constraints. On this basis, put forward the concrete portfolio optimization model with trapezoidal fuzzy random rate of return, the model can be transformed into solving a quadratic programming problems. Finally, the model makes an empirical analysis of 9 stocks in Shanghai 50 index, the results show that the model can effectively disperse the non-system risk.