作　　者： ; ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《系统工程》 2012年第12期33-38,共6页

摘　　要： 在现实金融市场中,交易费用、背景风险等因素对投资者的决策行为具有较大的影响。本文研究了具有模糊收益并且考虑交易成本和背景风险因素的投资组合选择问题。提出的模糊投资组合优化模型不仅反映了投资者对于投资组合的实际收益率和整体风险的要求,而且也考虑了对于风险价值的要求。在假设风险资产收益为正态模糊数的情况下,给出了具有VaR约束和背景风险的具体投资组合选择模型。最后,选取部分股票进行了实证分析,给出了有交易成本且考虑背景风险因素的模糊投资组合有效前沿,并与不考虑背景风险的模糊投资组合有效前沿进行了对比分析。结果表明,考虑背景风险因素能够更好地反映现实经济环境中的投资风险,使投资者能够选择更适合自己的投资组合。 In the financial markets, the presence of transaction cost and background risk may affect investors＇ investments. This paper analyzes the portfolio selection model with transaction cost and background risk, based on fuzzy returns. The fuzzy portfolio selection model shows more clearly that investors wish to consider not only the requirements of the actual rate of returns and overall risk, but also the requirements of value at risk. Under the condition that the expected rate of returns is a normal distribution fuzzy variable, we propose specific portfolio selection with VaR constraint and background risk. Finally, a numerical study is carried out using the data concerning some stocks. Based on the data, we get the efficient frontier of the fuzzy portfolio with transaction cost and background risk, and compare with the efficient frontier of the portfolio without background risk. A conclusion is reached that considering background risk can better reflect the investment risk of the real economy environment and make the investors choose a portfolio more suitable to them.

关 键 词： 模糊数 风险价值 清晰可能性均值 清晰可能性方差 背景风险

领　　域： [经济管理]