可信性测度下基于均值–方差–VaR–偏度–正弦熵的模糊投资组合分析
Fuzzy Portfolio Analysis Based on Mean-Variance-VaR-Skewness-Sine Entropy under Credibility Measure
DOI: 10.12677/FIN.2020.106058, PDF,   
作者: 于 轩：上海对外经贸大学，统计与信息学院，上海
关键词: 可信性测度；模糊VaR；模糊投资组合模型；模糊夏普比率；Credibility Measure； Fuzzy VaR； Fuzzy Portfolio Model； Fuzzy Sharpe Ratio
摘要: 本文在可信性理论的基础上，将资产收益率视为模糊变量，建立了均值–方差–VaR–偏度–正弦熵的多目标模糊投资组合模型，利用遗传算法求解最优投资策略。研究表明：模糊VaR的引入及新模型的构建，有助于更好地刻画资产收益率的风险特征，从而发现更优的投资组合策略。
Abstract: In this paper, a new fuzzy multi-objective mean-variance-VaR-skewness-sine entropy portfolio model is proposed by assuming the rate of return on the risky asset is a fuzzy variable, based on the credibility theory. In order to solve the proposed model, we design a genetic algorithm. Then, nu-merical examples show that the extension of the model and the introduction of fuzzy VaR are help-ful to characterize the risk characteristics of asset returns and make a contribution to the invest-ment portfolio strategies.
文章引用：于轩. 可信性测度下基于均值–方差–VaR–偏度–正弦熵的模糊投资组合分析[J]. 金融, 2020, 10(6): 560-567. https://doi.org/10.12677/FIN.2020.106058

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