考虑投资者异质信念和目标优先级的投资组合问题研究

Research on Fuzzy Portfolio Model with Investors’Heterogeneous Beliefs and Objective Priorities

考虑证券市场的模糊不确定性及投资者的模糊决策特征,以资产收益、下方风险及流动性为模糊投资目标,构建考虑投资者异质信念和目标优先级的多目标投资组合模型。进一步,以我国主板、中小板和创业板市场为背景,采用CPT-TOPSIS交互式算法进行实证分析。研究发现:乐观、理性和悲观投资者权衡收益、风险和流动性目标时偏好的优先顺序不同,导致资产配置结构、最优决策和绩效表现存在差别。结果表明模糊多目标模型能够满足不同投资者权衡多目标的差异化投资需求,取得优于基准随机投资组合的投资效果,可作为投资者投资决策的参考依据。

According to non-statistical uncertainty and insufficient historical data in security return forecasts,fuzzy set theory has been applied in the past decades to build portfolio selection models.Investors with heterogeneous beliefs usually build a portfolio to achieve multiple investment objectives with different priorities.Considering the fuzzy uncertainty of security markets and the feature of investors’fuzzy decisions,a fuzzy multiple objective portfolio model with heterogeneous beliefs of investors and the priority among objectives is built,in which the investment return,downside risk and liquidity are formulated as fuzzy investment objectives.Further,based on main board,medium and small-sized board and growth enterprise board in the stock market,the CPT-TOPSIS interactive algorithm is used for empirical analysis.It is found that optimistic,rational and pessimistic investors prefer different priorities among return,risks,and liquidity goals,resulting in differences between the asset allocation structure,optimal decisions and investment performance.Optimistic investors prefer the portfolio with the highest return priority which obtains the best performance.Rational investors prefer the portfolio with the highest liquidity priority and pessimistic investors prefer the portfolio with the highest downside risk priority.The results show that the fuzzy multiple objective portfolio model can meet the differentiated needs of different investors for trading off multiple goals and outperform the benchmark random portfolios.The findings can be used as a reference for investors’investment decisions and as an effective tool for risk management of stock equities.