风险资产组合的均值-WCVaR模糊投资组合优化模型

Abstract

Abstract: Based on the mean-variance model framework the essay has established the Mean-WCVaR model with a worst-case VaR(WCVaR)to replace variance as a risk measurement indicator.Meanwhile,the logistic membership function is introduced into the model.The essay regards the maximization of portfolio return and the minimization of worst-case VaR as its goal and sets up a fuzzy selection model of investment portfolio which is satisfied with the logistic membership.It better reflects the value of intent given by the investor to the goal value.According to the actual data of Shanghai Security,we use the genetic algorithm to simulate and test the validity of the model.

Key words: portfolio optimization, worst-case VaR, fuzzy, genetic algorithm

CLC Number:

F224.3

LIU Yan-chun, GAO Chuang. Mean-WCVaR Fuzzy Portfolio Optimization Model of Risk Property Combination[J]. Chinese Journal of Management Science, 2006, (6): 16-21.

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Mean-WCVaR Fuzzy Portfolio Optimization Model of Risk Property Combination

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