现实约束下多阶段模糊投资组合的时间一致性策略研究

doi:10.16381/j.cnki.issn1003-207x.2020.1759

Abstract

Abstract: Considering the borrowing constraints, threshold constraints, return demand and cardinality constraints, a new multiperiod possibislistic mean standard lower semi-variance portfolio selection model is proposed. Based on the possibilistic theory, the proposed model can be transformed into a crisp nonlinear dynamic optimization problem. Because the standard deviation operator is not separable, the optimal solution of the model is not time-consistent. By applying the game theory, the model is transformed into a time-consistentdynamic optimization problem. The discrete iteration method is used to obtain the optimal time-consistent strategy.Finally, the comparison analyses of trade-off parameters, different desired number of risk assets and different borrowing constraints are givento illustrate the idea of the model and the effectiveness of the designed algorithm.

Key words: multiperiod fuzzy portfolio selection; mean standard lower semi-variance; return demand; time-consistent strategy; a discrete approximate iteration method

CLC Number:

F830

ZHANG Peng,LI Ying,ZENG Yong-quan. Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints[J]. Chinese Journal of Management Science, 2022, 30(4): 42-51.

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Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints

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