一致性均值-CVaR可信性投资组合优化

doi:10.16381/j.cnki.issn1003-207x.2022.0654

中国管理科学 ›› 2023, Vol. 31 ›› Issue (6): 111-121.doi: 10.16381/j.cnki.issn1003-207x.2022.0654

一致性均值-CVaR可信性投资组合优化

张鹏, 崔淑琳, 李璟欣

华南师范大学经济管理学院，广东广州510006

收稿日期:2022-03-31 修回日期:2022-09-13 出版日期:2023-06-20 发布日期:2023-06-17
通讯作者: 张鹏(1975-)，男(汉族)，江西吉安人，华南师范大学经济管理学院,教授，博士生导师，研究方向：投资组合优化、金融工程，Email：zhangpeng300478@ aliyun.com. E-mail:zhangpeng300478@aliyun.com
基金资助:
国家自然科学基金资助项目(71271161)；广东省社会科学规划项目(GD19CGL32)

Coherent Mean-CVaR Credibilistic Portfolio Selection

ZHANG Peng, CUI Shu-lin, LI Jing-xin

School of Economics and Management, South China Normal University, Guangzhou 510006, China

Received:2022-03-31 Revised:2022-09-13 Online:2023-06-20 Published:2023-06-17
Contact: 张鹏 E-mail:zhangpeng300478@aliyun.com

摘要/Abstract

摘要： 投资者决策受投资者态度影响。考虑投资者对股票市场的态度，本文运用一致性模糊数描述资产的收益率，构建具有V型交易成本、借贷限制等现实约束的一致性均值—CVaR可信性投资组合模型。该模型是线性规划问题，可运用线性规划的旋转算法求解。本文运用Fama和French因子模型从沪深A股中选取样本资产进行实证分析。样本内研究及样本外检验均表明，投资者对股票市场的不同态度显著影响投资组合表现，因此正确评估投资者对股票市场的态度能够帮助个人和机构投资者制定科学合理的投资决策。

关键词: 可信性测度；一致模糊变量；均值-CVaR；因子模型；夏普比率；索提诺比率

Abstract: Investor’s decision is influenced by investor’s attitude. Considering investor’s attitude to the stock market, the return is regarded as a fuzzy variable, constructing a coherent mean-CVaR credibilistic portfolio model with the constraints of V-type transaction cost, borrowing constraints. The model is a linear programming problem which can be solved by using the pivoting algorithm of linear programming. Finally, Fama and French factor models are used to select sample stocks from Shanghai and Shenzhen A-share market to construct the portfolio. Both in sample test and out of sample test show that, investor’s different attitude towards the stock market affects the performance of portfolio significantly. Therefore, it is helpful for individual and institutional investors to make reasonable investment decisions by correctly evaluating investor’s attitudes towards the stock market.

Key words: credibilistic measure; coherent fuzzy number; mean-CVaR; factors model; sharpe ratio; sortino ratio

中图分类号:

F830

张鹏, 崔淑琳, 李璟欣. 一致性均值-CVaR可信性投资组合优化[J]. 中国管理科学, 2023, 31(6): 111-121.

ZHANG Peng, CUI Shu-lin, LI Jing-xin. Coherent Mean-CVaR Credibilistic Portfolio Selection[J]. Chinese Journal of Management Science, 2023, 31(6): 111-121.

参考文献

［1］ Markowitz H. Portfolio selection［J］. The Journal of Finance，1952, 7(1): 77-91.
［2］张鹏,曾永泉.具有卖空总量限制的多阶段M—SAD投资组合优化［J］.中国管理科学,2021,29(6):60-69.Zhang Peng, Zeng Yongquan. Multiperiod mean semi-absolute deviation portfolio selection with total short selling constraints［J］. Chinese Journal of Management Science, 2021,29(6):60-69.
［3］张金清,张剑宇.基于半方差的组合保险策略设计与应用研究［J］.统计研究,2021,38(5):55-69.Zhang Jinqing, Zhang Jianyu. Portfolio insurance strategy design and application based on semi-variance［J］. Statistical Research,2021, 38(5):55-69.
［4］ Guo Xu, Chan R H, Wong W K, et al. Meanvariance, meanVaR, and meanCVaR models for portfolio selection with background risk［J］. Risk Management, 2019, 21(2): 73-98.
［5］许启发,周莹莹,蒋翠侠.带有范数约束的CVaR高维组合投资决策［J］.中国管理科学,2017,25(2):40-49.Xu Qifa, Zhou Yingying, Jiang Cuixia. CVaR based high dimensional portfolio selection under norm constraints［J］. Chinese Journal of Management Science,2017,25(2):40-49.
［6］ Chen H H, Yang C B. Multiperiod portfolio investment using stochastic programming with conditional value at risk［J］. Computers & Operations Research, 2017, 81: 305-321.
［7］ Strub M S, Li Duan, Cui Xiangyu, et al. Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR［J］. Journal of Economic Dynamics and Control, 2019, 108: 103751.
［8］ Liu Yongjun, Zhang Weiguo. Possibilistic moment models for multi-period portfolio selection with fuzzy returns［J］. Computational Economics, 2019,53:1657-1686.
［9］ Pahade J K, Jha M. Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection［J］. Results in Applied Mathematics, 2021, 11: 100-159.
［10］ Liu Yongjun, Zhang Weiguo, Zhang Qun. Credibilistic multi-period portfolio optimization model with bankruptcy control and affine recourse［J］. Applied Soft Computing, 2016, 38: 890-906.
［11］ Kar M B, Kar S, Guo S, et al. A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms［J］. Soft Computing, 2019, 23(12): 4367-4381.
［12］ Mehlawat M K, Gupta P, Kumar A, et al. Multiobjective fuzzy portfolio performance evaluation using data envelopment analysis under credibilistic framework［J］. IEEE Transactions on Fuzzy Systems, 2020, 28(11): 2726-2737.
［13］ Li Hongquan, Yi Zhihong. Portfolio selection with coherent Investor’s expectations under uncertainty［J］. Expert Systems with Applications, 2019, 133: 49-58.
［14］ Gupta P, Mehlawat M K, Khan A Z. Multi-period portfolio optimization using coherent fuzzy numbers in a credibilistic environment［J］. Expert Systems with Applications, 2021, 167: 114135.
［15］ Mehlawat M K, Gupta P, Khan A Z. Multiobjective portfolio optimization using coherent fuzzy numbers in a credibilistic environment［J］. International Journal of Intelligent Systems, 2021, 36(4): 1560-1594.
［16］ Fama E F, French K R. Common risk factors in the returns on stocks and bonds［J］. Journal of Financial Economics, 1993, 33(1): 3-56.
［17］ Fama E F, French K R. A five-factor asset pricing model［J］. Journal of Financial Economics, 2015, 116(1): 1-22.
［18］ Li Xiang, Liu Baoding. A sufficient and necessary condition for credibility measures［J］. International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2006, 14(5): 527-535.
［19］ Liu Baoding, Liu Yiankui. Expected value of fuzzy variable and fuzzy expected value models［J］. IEEE Transactions on Fuzzy Systems, 2002, 10(4): 445-450.
［20］ Liu Baoding. Uncertainty theory［M］. Germany: Springer, 2007.
［21］ Liu Naiqi, Chen Yanju, Liu Yankui. Optimizing portfolio selection problems under credibilistic CVaR criterion［J］. Journal of Intelligent & Fuzzy Systems, 2018, 34(1): 335-347.
［22］张鹏,张忠桢,岳超源.限制性卖空的均值-半绝对偏差投资组合模型及其旋转算法研究［J］.中国管理科学,2006(2):7-11.Zhang Peng, Zhang Zhongzhen, Yue Chaoyuan. Optimization of the mean semi-absolute deviation portfolio selection model with the restricted short selling based on the pivoting algorithm［J］. Chinese Journal of Management Science, 2006(2):7-11.
［23］李志冰,杨光艺,冯永昌,等.Fama-French五因子模型在中国股票市场的实证检验［J］.金融研究,2017(6):191-206.Li Zhibing, Yang Guangyi, Feng Yongchang, et al. Fama-French five factor model in China stock market［J］. Journal of Financial Research, 2017(6):191-206.
［24］ Vercher E, Bermudez J D, Segura J V. Fuzzy portfolio optimization under downside risk measures［J］. Fuzzy Sets and Systems, 2007, 158(7): 769-782.
［25］ DeMiguel V, Garlappi L, Uppal R. Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy?［J］. The Review of Financial Studies, 2009, 22(5): 1915-1953.

[1]	郭冉冉,叶五一,刘小泉,缪柏其. 商品期货投资组合与市场收益的尾部相依研究[J]. 中国管理科学, 2024, 32(10): 11-19.
[2]	韩鑫韬,张晓敏,刘星. 宏观审慎管理配合下的最优货币政策选择[J]. 中国管理科学, 2024, 32(10): 1-10.
[3]	成思聪,王天一. 引入隔夜信息的期权定价模型研究[J]. 中国管理科学, 2024, 32(9): 1-10.
[4]	吴鑫育,谢海滨,马超群. 经济政策不确定性与人民币汇率波动率[J]. 中国管理科学, 2024, 32(8): 1-14.
[5]	谢楠,何海涛,周艳菊,王宗润. 乡村振兴背景下基于中央政府项目补贴分析的供应链金融决策研究[J]. 中国管理科学, 2024, 32(8): 214-229.
[6]	于孝建,刘国鹏,刘建林,肖炜麟. 基于LSTM网络和文本情感分析的股票指数预测[J]. 中国管理科学, 2024, 32(8): 25-35.
[7]	倪宣明,郑田田,赵慧敏,武康平. 基于最优异质收益率因子的资产定价研究[J]. 中国管理科学, 2024, 32(8): 50-60.
[8]	于文华,任向阳,杨坤,魏宇. 传染病不确定性对大宗商品期货价格波动的非对称影响研究[J]. 中国管理科学, 2024, 32(5): 254-264.
[9]	蔡毅,唐振鹏,吴俊传,杜晓旭,陈凯杰. 基于灰狼优化的混频支持向量机在股指预测与投资决策中的应用研究[J]. 中国管理科学, 2024, 32(5): 73-80.
[10]	李仲飞,周骐. 一个基于BL模型和复杂网络的行业配置模型[J]. 中国管理科学, 2024, 32(4): 1-13.
[11]	张雪彤,张卫国,王超. 发达市场与新兴市场的尾部风险[J]. 中国管理科学, 2024, 32(4): 14-25.
[12]	尹海员,寇文娟. 基于朴素贝叶斯法的投资者情绪度量及其对股票特质风险的影响[J]. 中国管理科学, 2024, 32(4): 38-47.
[13]	王晓燕,杨胜刚,张科坤. 终极所有权结构与企业委托贷款行为[J]. 中国管理科学, 2024, 32(4): 48-57.
[14]	李爱忠,任若恩,董纪昌. 图网络风险感知与稀疏低秩的组合管理策略[J]. 中国管理科学, 2024, 32(4): 58-65.
[15]	吴鑫育,姜晓晴,李心丹,马超群. 基于已实现EGARCH-FHS模型的上证50ETF期权定价研究[J]. 中国管理科学, 2024, 32(3): 105-115.

一致性均值-CVaR可信性投资组合优化

Coherent Mean-CVaR Credibilistic Portfolio Selection

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

Metrics

本文评价

推荐阅读 0