| 基于可信性理论的Mean-CVaR投资组合优化 |
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| 引用本文： | 李淼,胡永宏.基于可信性理论的Mean-CVaR投资组合优化[J].统计与信息论坛,2016(12):23-29. |
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| 作者姓名： | 李淼 胡永宏 |
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| 作者单位： | 1. 北京市工商行政管理局 东城分局,北京,100007;2. 中央财经大学 统计与数学学院,北京,100081 |
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| 基金项目： | 国家自然科学基金面上项目《稳健投资组合选择的并行最优化算法研究与实现》(61272193) |
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| 摘 要： | 选取CVaR作为风险度量指标,在可信性理论的基础上构建Mean-CVaR投资组合模型,采用Markov过程预测作为模糊变量的预期投资收益率,并设计基于模糊模拟和遗传算法的混合智能算法以求解;选取上证50成份股2013—2014年的日度历史交易数据,将该模型应用到中国证券市场,结果发现该投资组合模型与中国证券市场的环境具有一定的适应性,能够为投资者的投资决策提供依据。
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| 关 键 词： | 可信性理论 Mean-CVaR 混合智能算法 |
Portfolio Optimization of Mean-CVaR Based on Credibility Theory |
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| Abstract: | Constructing Mean-CVaR portfolio model based on credibility theory,the CVaR is chosen as the risk measurement index and according to the Markov process to predict fuzzy profit rate and designed a hybrid intelligent algorithm based on fuzzy simulation and genetic algorithm to solve.It makes the model to apply to the stock market in China selected SSE 50 constituent stocks of 2013-2014 years of historical transaction data.The result shows that the model of portfolio investment has certain adaptability with the stock market in China and can provide the basis for the investment decisions of investors. |
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| Keywords: | credibility theory Mean-CVaR hybrid intelligent algorithm |
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