山西大学学报（自然科学版）2022，Vol.45Issue(1)：87-102,16.DOI:10.13451/j.sxu.ns.2021064
面向证券投资问题的确定性等价序贯三支决策
A Certainty Equivalent Based Sequential Three-Way Decision for Securities Investment
摘要
Abstract
In recent decades, the research on securities investment such as portfolio received attention, which is based on the current determination to invest, and research on uncertain investment decisions using artificial intelligence with uncertainty methods are be-ing studied more and more widely. The returns and risks of financial investment are full of uncertainty, we need to make decisions to judge whether and how investors should make investment decision. In three-way decision, the attitude of decision makers about risk is an important decision consideration. Based on the sequential three-way decision model, the problem of securities investment was studied by simulating the risk attitude of investors through certainty equivalent. A Certainty Equivalent based Sequential Three-Way Decision (CES3WD) model is introduced. The mean and variance of returns are obtained from historical data and used as the expected return and risk of investment. The expected total value is transformed into the risk attitude of decision makers by the expo-nential utility function, and the expected investment return of the decision makers are measured by the certainty equivalent method. Moreover, based on the principle of maximizing expected investment return, the decision rule is constructed. On this basis, the dy-namic decision rules are optimized according to the actual investment strategy, and the derivation algorithms of sequential three-way decision rules are constructed. Finally, experimental analysis validates the proposed methods.关键词
序贯三支决策/期望效用理论/确定性等价Key words
sequential three-way decision/expected utility theory/Certainty Equivalent分类
管理科学引用本文复制引用
曹家硕,周献中,黄兵,贾修一,李华雄..面向证券投资问题的确定性等价序贯三支决策[J].山西大学学报（自然科学版）,2022,45(1):87-102,16.基金项目
国家自然科学基金(62176116 （）
71732003 （）
61876079) （）
江苏省高校自然科学研究项目(20KJA520006) （20KJA520006）
