运筹与管理2016，Vol.25Issue(2)：71-77,7.DOI:10.12005/orms.2016.0046
具有熵约束的多阶段均值-绝对偏差模糊投资组合决策
Multi-period Mean-absolute Deviation Fuzzy Portfolio Selection Model with Entropy Constraints
摘要
Abstract
This paper considers a multi-period fuzzy portfolio selection problem maximizing the terminal wealth imposed by risk control, in which risk of assets and the divergence measure of portfolio are, respectively, meas-ured by fuzzy absolute deviation and proportion entropy.Based on the theories of possibility theory, the proposed model is transformed into a crisp nonlinear programming problem.Because of the transaction costs, the multi-period portfolio selection is a dynamic optimization problem with path dependence.Furthermore, a forward dynamic programming method is designed to obtain the optimal portfolio strategy.Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm.关键词
决策分析/模糊决策/前向动态规划方法/多阶段模糊投资组合/熵Key words
decision-making analysis/fuzzy decision/the forward dynamic programming method/multi-period fuzzy portfolio selection/entropy分类
管理科学引用本文复制引用
张鹏,张卫国,曾玉婷..具有熵约束的多阶段均值-绝对偏差模糊投资组合决策[J].运筹与管理,2016,25(2):71-77,7.基金项目
国家自然科学基金项目（71271161）；教育部人文社科基金项目资助 （）
