限制卖空的不确定多阶段均值-绝对偏差投资组合决策

Multi-period Mean Absolute Deviation Uncertain Portfolio Decisions-making with Limiting Short-selling Constraints

为了处理主观不确定性,本文运用模糊不确定性来衡量投资组合收益率的均值和绝对偏差。考虑一系现实约束条件,构建了限制卖空的不确定多阶段均值-绝对偏差的投资组合模型,并运用离散近似迭代法求解。通过实证研究分别对风险资产卖空比例、风险值和熵值进行灵敏性分析,验证模型和算法的有效性。

In order to deal with the subjective uncertainty,this paper uses the uncertainty theory to measure the mean and absolute deviation of the portfolio yield.Considering a set of practical constraints,this paper proposes the multi-period mean absolute deviation uncertain portfolio decisions-making with limiting short-selling constraints,and uses discrete approximation iterative method to solve this model.The empirical research shows the sensitivity analysis of risk asset short selling ratio,risk value and entropy.At the same time,the validity of the model and algorithm is verified by using real data.