运筹与管理2017，Vol.26Issue(4)：118-123,6.DOI:10.12005/orms.2017.0091
含有背景风险的双目标投资组合模型研究
Bi Objective Portfolio Selection Model and Algorithm with Background Risk
摘要
Abstract
In practice,the investors always face the background risk.Most of the M-V framework in portfolio selection problems does not take it into account,so the utility of portfolio is influenced by the background risk.This article proposes a bi-objective portfolio selection model with background risk and transaction costs to study how background risk affects the utility and how background risk preference affects it.Then we introduce an improved genetic algorithm to solve this model.Finally,we use the collect data to test the performance of the model to the portfolio selection problem.Based on the empirical study,we make conclusions that when the expected return of background risk is zero,the model with background risk can better reflect the investment risk of the real economic environment;when the expected return of background risk is not zero,the model with background risk can yield more return.Thus,the model with background risk is superior to the model without it.关键词
投资组合/背景风险/交易费用Key words
portfolio selection/background risk/transaction cost分类
管理科学引用本文复制引用
李佳,徐维军,张卫国..含有背景风险的双目标投资组合模型研究[J].运筹与管理,2017,26(4):118-123,6.基金项目
国家自然科学基金(71171086) （71171086）
国家社科基金重大项目(11&ZD156) （11&ZD156）
中央高校基本业务费滚动项目资助(2015GD05) （2015GD05）
广州市金融服务创新与风险管理基金 （）
