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.2022.0654cstr: 32146.14.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.

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一致性均值-CVaR可信性投资组合优化

Coherent Mean-CVaR Credibilistic Portfolio Selection

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