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考虑背景风险和流动性的模糊投资组合模型

宋慧慧 龙宪军 何光 彭再云

宋慧慧, 龙宪军, 何光, 彭再云. 考虑背景风险和流动性的模糊投资组合模型[J]. 应用数学和力学, 2021, 42(2): 212-220. doi: 10.21656/1000-0887.400298
引用本文: 宋慧慧, 龙宪军, 何光, 彭再云. 考虑背景风险和流动性的模糊投资组合模型[J]. 应用数学和力学, 2021, 42(2): 212-220. doi: 10.21656/1000-0887.400298
SONG Huihui, LONG Xianjun, HE Guang, PENG Zaiyun. A Fuzzy Portfolio Model With Background Risk and Liquidity Considered[J]. Applied Mathematics and Mechanics, 2021, 42(2): 212-220. doi: 10.21656/1000-0887.400298
Citation: SONG Huihui, LONG Xianjun, HE Guang, PENG Zaiyun. A Fuzzy Portfolio Model With Background Risk and Liquidity Considered[J]. Applied Mathematics and Mechanics, 2021, 42(2): 212-220. doi: 10.21656/1000-0887.400298

考虑背景风险和流动性的模糊投资组合模型

doi: 10.21656/1000-0887.400298
基金项目: 国家自然科学基金(面上项目)(11471059);重庆市基础与前沿研究计划(重点项目)(cstc2018jcyjAX0119);重庆市教育委员会科学技术研究计划(重点项目)(KJZDK201900801);经济社会应用统计重庆市重点实验项目(KFJJ2017071);重庆市巴渝学者特聘教授专项资助
详细信息
    作者简介:

    宋慧慧(1995—),女,硕士生(E-mail: songhuihui126@126.com);龙宪军(1980—),男,教授,博士(通讯作者. E-mail: xianjunlong@ctbu.edu.cn).

  • 中图分类号: O224

A Fuzzy Portfolio Model With Background Risk and Liquidity Considered

Funds: The National Natural Science Foundation of China(11471059)
  • 摘要: 利用投资收益率的二阶矩作为风险度量函数,建立了考虑背景风险和流动性的模糊投资组合模型.在满足预设收益率、换手率可能性均值要求水平以及风险资产的投资比例等约束条件下,使投资收益的二阶矩最小.最后选取中证100指数成分股中部分股票的历史数据进行数值分析,证明了该模型符合“高收益、高风险”的规律,说明该模型适用于实际金融市场.而且使用二阶矩代替方差作为风险度量函数,克服了方差计算复杂的缺陷,简化了模糊投资组合求解问题.
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出版历程
  • 收稿日期:  2019-10-12
  • 修回日期:  2020-12-20
  • 刊出日期:  2021-02-01

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