基于模糊熵和Yager熵的投资组合优化模型

Portfolio optimization model based on fuzzy entropy and Yager's entropy

通过引入"可信度"作为模糊变量的计量方法,以模糊熵和Yager熵为基础构建了一个新的投资组合优化模型。数值模拟比较发现,在几乎不降低投资组合收益率的情况下,新模型在投资组合权重配置合理性方面改善明显。实证研究进一步表明:新模型可以有效分散投资风险,降低投资者在真实的金融市场中遭受重大损失的概率,可为投资者提供决策参考。

Using the concept of credibility measure,this paper proposes a novel portfolio model to optimize the portfolio weights based on fuzzy entropy and Yager's entropy. The results show that the rationality of funds allocation can be greatly improved at the expense of a small decrease in the yields. Empirical analysis also indicates that using a fuzzy entropy-Yager's entropy model can diversify investment risk more efficiently,which could protect the investors from significant losses in the real financial market and provide decision references for investors.