期刊文献+
共找到209篇文章
< 1 2 11 >
每页显示 20 50 100
Fuzzy Multi-Objective Decision Model of Supplier Selection with Preference Information 被引量:1
1
作者 Chen Zhixiang School of Management, Zhongshan University, Guangzhou 510275, P. R. China Ma Shihua & Chen Rongqiu School of Management, Huazhong University of Science & Technology, Wuhan 430074, R R. China 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2001年第1期34-41,共8页
Supplier selection is a multi-objective decision problem, which must be considered many objectives, some objectives are qualitative, and others are quantitative. Meanwhile, manufacturer has preference for different su... Supplier selection is a multi-objective decision problem, which must be considered many objectives, some objectives are qualitative, and others are quantitative. Meanwhile, manufacturer has preference for different suppliers. In this paper, a new multi-objective decision model with preference information of supplier is established. A practical example of supplier selection problem utilizing this model is studied. The result demonstrates the feasibility and effectiveness of the methods proposed in the paper. 展开更多
关键词 multi-objective Supplier selection FuzZy membership degree.
在线阅读 下载PDF
Weapons equipment portfolios selection based on equipment system contribution rates 被引量:9
2
作者 LIU Peng LI Jichao +2 位作者 XIA Boyuan ZHAO Danling TAN Yuejin 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2021年第3期584-595,共12页
Equipment selection is an essential work in the research and development planning of equipment.The scientific and rational development of weapons equipment portfolios is of considerable significance to the optimizatio... Equipment selection is an essential work in the research and development planning of equipment.The scientific and rational development of weapons equipment portfolios is of considerable significance to the optimization of equipment architecture design,the adequate resources allocation,and the joint combat performance.From the system view,this paper proposes a method of weapons equipment portfolios selection(WEPS)based on the contribution rate of weapon systems,providing a new idea for weapon equipment portfolio selection.Firstly,we analyze the WEPS problem and the concept of the contribution rate under the systems background.Secondly,we propose a combat network modeling method for weapon equipment systems based on the function chain.Thirdly,we propose a WEPS method based on the contribution rate,fully considering the correlation relationships between potential weapons and the old weapon systems by the combat network model,under the limitation of capability demands and budget resources,with the objective to maximally increasing the combat ability of weapon systems.Finally,we make a case study with a specific WEPS problem where the whole calculation processes and results are analyzed and exhibited to verify the feasibility and effectiveness of the proposed method model. 展开更多
关键词 weapons equipment system systems contribution rate equipment portfolio selection combat capability combat network
在线阅读 下载PDF
System portfolio selection based on GRA method under hesitant fuzzy environment 被引量:7
3
作者 LI Zhuoqian DOU Yajie +2 位作者 XIA Boyuan YANG Kewei LI Mengjun 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2022年第1期120-133,共14页
The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;i... The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method. 展开更多
关键词 system portfolio selection hesitant fuzzy set(HFS) grey relational analysis(GRA) score-hesitation tradeoff portfolio model
在线阅读 下载PDF
Service-oriented weapon systems of system portfolio selection method 被引量:2
4
作者 CHEN Ziyi DOU Yajie +1 位作者 XU Xiangqian TAN Yuejin 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2020年第3期551-566,共16页
Weapon system portfolio selection is an important combinatorial problem that arises in various applications,such as weapons development planning and equipment procurement,which are of concern to military decision make... Weapon system portfolio selection is an important combinatorial problem that arises in various applications,such as weapons development planning and equipment procurement,which are of concern to military decision makers.However,the existing weapon system-of-systems(SoS)is tightly coupled.Because of the diversity and connectivity of mission requirements,it is difficult to describe the direct mapping relationship from the mission to the weapon system.In the latest service-oriented research,the introduction of service modules to build a service-oriented,flexible,and combinable structure is an important trend.This paper proposes a service-oriented weapon system portfolio selection method,by introducing service to serve as an intermediary to connect missions and system selection,and transferring the weapon system selection into the service portfolio selection.Specifically,the relation between the service and the task is described through the service-task mapping matrix;and the relation between the service and the weapon system is constructed through the servicesystem mapping matrix.The service collaboration network to calculate the flexibility and connectivity of each service portfolio is then established.Through multi-objective programming,the optimal service portfolios are generated,which are further decoded into weapon system portfolios. 展开更多
关键词 weapon system portfolio selection SERVICE-ORIENTED multi-objective programming
在线阅读 下载PDF
Weapon system portfolio selection based on structural robustness 被引量:4
5
作者 JIANG Jiuyao LI Jichao YANG Kewei 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2020年第6期1216-1229,共14页
The system portfolio selection is a fundamental frontier issue in the development planning and demonstration of weapon equipment.The scientific and reasonable development of the weapon system portfolio is of great sig... The system portfolio selection is a fundamental frontier issue in the development planning and demonstration of weapon equipment.The scientific and reasonable development of the weapon system portfolio is of great significance for optimizing the design of equipment architecture,realizing effective resource allocation,and increasing the campaign effectiveness of integrated joint operations.From the perspective of system-ofsystems,this paper proposes a unified framework called structure-oriented weapon system portfolio selection(SWSPS)to solve the weapon system portfolio selection problem based on structural invulnerability.First,the types of equipment and the relationship between the equipment are sorted out based on the operation loop theory,and a heterogeneous combat network model of the weapon equipment system is established by abstracting the equipment and their relationships into different types of nodes and edges respectively.Then,based on the combat network model,the operation loop comprehensive evaluation index(OLCEI)is introduced to quantitatively describe the structural robustness of the combat network.Next,a weapon system combination selection model is established with the goal of maximizing the operation loop comprehensive evaluation index within the constraints of capability requirements and budget limitations.Finally,our proposed SWSPS is demonstrated through a case study of an armored infantry battalion.The results show that our proposed SWSPS can achieve excellent performance in solving the weapon system portfolio selection problem,which yields many meaningful insights and guidance to the future equipment development planning. 展开更多
关键词 heterogeneous combat network structural robustness weapon system portfolio selection equipment development planning
在线阅读 下载PDF
Scenario-based approach for project portfolio selection in army engineering and manufacturing development 被引量:4
6
作者 Pengle Zhang Kewei Yang +1 位作者 Yajie Dou Jiang Jiang 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2016年第1期166-176,共11页
The decisions concerning portfolio selection for army engineering and manufacturing development projects determine the benefit of those projects to the country concerned.Projects are typically selected based on ex ant... The decisions concerning portfolio selection for army engineering and manufacturing development projects determine the benefit of those projects to the country concerned.Projects are typically selected based on ex ante estimates of future return values,which are usually difficult to specify or only generated after project launch.A scenario-based approach is presented here to address the problem of selecting a project portfolio under incomplete scenario information and interdependency constraints.In the first stage,the relevant dominance concepts of scenario analysis are studied to handle the incomplete information.Then,a scenario-based programming approach is proposed to handle the interdependencies to obtain the projects,whose return values are multi-criteria with interval data.Finally,an illustrative example of army engineering and manufacturing development shows the feasibility and advantages of the scenario-based multi-objective programming approach. 展开更多
关键词 scenario-based interdependency group decision making project portfolio selection portfolio decision analysis
在线阅读 下载PDF
Weapons system portfolio selection based on the contribution rate evaluation of system of systems 被引量:14
7
作者 DOU Yajie ZHOU Zhexuan +1 位作者 ZHAO Danling WEI Yong 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2019年第5期905-919,共15页
The weapons system portfolio selection problem arises at the equipment demonstration stage and deals with the military application requirements.Further,the contribution rate of the system is one of the important indic... The weapons system portfolio selection problem arises at the equipment demonstration stage and deals with the military application requirements.Further,the contribution rate of the system is one of the important indicators to evaluate the role of a system,which can facilitate the weapons system portfolio selection.Therefore,combining the system contribution rate with system portfolio selection is the focus of this study.It also focuses on calculating the contribution rates of multiple equipment systems with various types of capabilities.The contribution rate is measured by establishing a hierarchical multi-criteria value model from three dimensions.Based on the value model,the feasible portfolios are developed under certain cost constraints and the optimal weapons system portfolios are obtained by using the classification optimization selection strategy.Finally,an illustrative example is presented to verify the feasibility of the proposed model. 展开更多
关键词 WEAPON SYSTEM SYSTEM of systems (SoS) portfolioselection CONTRIBUTION rate EVALUATION DECISION analysis
在线阅读 下载PDF
Double adaptive selection strategy for MOEA/D 被引量:2
8
作者 GAO Jiale XING Qinghua +1 位作者 FAN Chengli LIANG Zhibing 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2019年第1期132-143,共12页
Since most parameter control methods are based on prior knowledge, it is difficult for them to solve various problems.In this paper, an adaptive selection method used for operators and parameters is proposed and named... Since most parameter control methods are based on prior knowledge, it is difficult for them to solve various problems.In this paper, an adaptive selection method used for operators and parameters is proposed and named double adaptive selection(DAS) strategy. Firstly, some experiments about the operator search ability are given and the performance of operators with different donate vectors is analyzed. Then, DAS is presented by inducing the upper confidence bound strategy, which chooses suitable combination of operators and donates sets to optimize solutions without prior knowledge. Finally, the DAS is used under the framework of the multi-objective evolutionary algorithm based on decomposition, and the multi-objective evolutionary algorithm based on DAS(MOEA/D-DAS) is compared to state-of-the-art MOEAs. Simulation results validate that the MOEA/D-DAS could select the suitable combination of operators and donate sets to optimize problems and the proposed algorithm has better convergence and distribution. 展开更多
关键词 multi-objective optimization ADAPTIVE OPERATOR selection ADAPTIVE NEIGHBOR selection decomposition.
在线阅读 下载PDF
Decision making tools for optimal material selection:A review 被引量:3
9
作者 Divya ZINDANI Saikat Ranjan MAITY Sumit BHOWMIK 《Journal of Central South University》 SCIE EI CAS CSCD 2020年第3期629-673,共45页
The present work reviews different decision making tools(material comparing and choosing tools)used for selecting the best material considering different parameters.In this review work,the authors have tried to addres... The present work reviews different decision making tools(material comparing and choosing tools)used for selecting the best material considering different parameters.In this review work,the authors have tried to address the following important enquiries:1)the engineering applications addressed by the different material choosing and ranking methods;2)the predominantly used decision making tools addressing the optimal material selection for the engineering applications;3)merits and demerits of decision making tools used;4)the dominantly used criteria or objectives considered while selecting a suitable alternative material;5)overview of DEA on material selection field.The authors have surveyed literatures from different regions of the globe and considered literatures since 1988.The present review not only stresses the importance of material selection in the early design stage of the product development but also aids the design and material engineers to apply different decision making tools systematically. 展开更多
关键词 multi-criteria decision making multi-attribute decision making multi-objective decision making soft computing techniques material selection
在线阅读 下载PDF
考虑投资者情绪的均值回归在线投资组合策略
10
作者 钟衍楠 徐维军 +1 位作者 于孝建 张卫国 《系统工程学报》 北大核心 2025年第1期45-60,共16页
利用文本中包含的投资者情绪挖掘股票的均值回归特征,从相对价格层面提出了基于回归特征修正的价格预测方法.将策略微调后的均值波动收益作为优化目标,利用窗口期内相对价格的波动导致的潜在收益控制模型的优化强度,提出了基于回归特征... 利用文本中包含的投资者情绪挖掘股票的均值回归特征,从相对价格层面提出了基于回归特征修正的价格预测方法.将策略微调后的均值波动收益作为优化目标,利用窗口期内相对价格的波动导致的潜在收益控制模型的优化强度,提出了基于回归特征修正和微调惩罚的在线投资组合策略.选取上证100、沪深300、富时A50和恒生指数等国内指数市场数据对策略进行验证,结果表明:本文所提相对价格预测方法能提升现有均值回归策略的收益,所提策略的收益高于现有均值回归策略.采用短期内的投资者情绪作为市场均值回归特征,能更好地捕捉股票变化,提升改进策略的整体绩效表现. 展开更多
关键词 在线投资组合 均值回归 投资者情绪:文本挖掘
在线阅读 下载PDF
考虑税率的不确定国际投资组合问题研究
11
作者 马笛 黄晓霞 崔光日 《运筹与管理》 北大核心 2025年第1期193-198,I0079-I0081,共6页
为了寻求更好的投资收益,越来越多的投资者关注国际投资组合。本文研究了复杂国际投资环境下,面对不确定的证券收益、汇率和税率如何进行投资决策的问题。为此,本文建立了考虑税率的不确定国际投资组合均值—方差—熵模型。在此基础上... 为了寻求更好的投资收益,越来越多的投资者关注国际投资组合。本文研究了复杂国际投资环境下,面对不确定的证券收益、汇率和税率如何进行投资决策的问题。为此,本文建立了考虑税率的不确定国际投资组合均值—方差—熵模型。在此基础上我们应用美国纳斯达克和纽约证券交易所部分股票的数据,给出了在股票和无风险资产上的最优投资分配,并分析了在国际投资组合中是否使用外汇远期合约规避汇率风险,以及投资决策时考虑不确定税率的必要性问题。研究发现当投资者风险容忍水平较低时应通过远期合约规避汇率风险;而当投资者风险容忍水平较高时应选择没有远期合约的投资组合。实验结果还显示投资决策不能忽略不确定税率,并且应尽可能地给出更为精确的不确定税率分布。此外,本文还对最优投资组合和等权重投资组合做了比较和期后检验,结果表明通过本文模型得到的最优投资组合表现优于等权重投资组合。 展开更多
关键词 不确定理论 均值—方差—熵模型 国际投资组合 不确定汇率 不确定税率
在线阅读 下载PDF
考虑投资不确定性的项目组合选择IGDT模型
12
作者 李金孟 李星梅 +2 位作者 闫庆友 艾星贝 刘达 《运筹与管理》 CSSCI CSCD 北大核心 2024年第6期199-206,共8页
受政策的改变以及对新兴领域项目投资缺少足够认知的影响,管理者的项目投资行为往往呈现一定的不确定性。针对企业管理者在进行项目组合投资决策时存在一定风险偏好的情况,本文基于信息间隙决策理论(Information Gap Decision Theory,IG... 受政策的改变以及对新兴领域项目投资缺少足够认知的影响,管理者的项目投资行为往往呈现一定的不确定性。针对企业管理者在进行项目组合投资决策时存在一定风险偏好的情况,本文基于信息间隙决策理论(Information Gap Decision Theory,IGDT),引入净现值偏差系数对管理者的风险偏好进行描述,构建了考虑投资不确定性的项目组合选择新模型。采用包络约束对投资金额不确定性进行描述,给出风险规避与机会寻求两种策略下的项目组合选择IGDT优化模型,并将其转化成单层规划模型进行求解。通过算例仿真,验证了模型的有效性。结果表明:IGDT优化模型不仅满足了管理者投资的预期净现值要求,而且给出了最优的投资金额与项目选择结果。本文构建模型可以为管理者在项目风险管控和资金管理优化方面提供参考。 展开更多
关键词 项目组合选择 投资不确定性 信息间隙决策理论 主动打断 弹性时间段 资金约束
在线阅读 下载PDF
基于多线性组合效用函数的智能服务组合选择
13
作者 闫勇 张新卫 王诗佳 《运筹与管理》 CSSCI CSCD 北大核心 2024年第5期132-139,共8页
在进行智能服务开发时,企业往往面临从服务集合选择部分服务进行开发的问题。考虑智能服务结果的不确定性,以及决策者偏好信息和服务所需资源信息的不准确性,提出一种基于多线性组合效用函数的智能服务组合选择方法。首先,针对智能服务... 在进行智能服务开发时,企业往往面临从服务集合选择部分服务进行开发的问题。考虑智能服务结果的不确定性,以及决策者偏好信息和服务所需资源信息的不准确性,提出一种基于多线性组合效用函数的智能服务组合选择方法。首先,针对智能服务结果的不确定性,利用多线性组合效用函数构建组合选择目标函数,并在考虑服务之间资源交互的基础上,建立混合整数规划模型并求解最优化服务组合。然后,考虑决策者偏好、智能服务效用评定信息及所需资源信息不准确情形,进行鲁棒分析,将最优组合出现的频率及各个服务被选择的频率作为最终选择的重要参考。最后,以某重卡企业智能服务组合选择问题为例,验证了方法的可行性与有效性。 展开更多
关键词 智能服务 多线性组合效用函数 组合选择 鲁棒分析 组合决策分析
在线阅读 下载PDF
ESG投资提高了基金业绩吗?——兼论ESG投资对“业绩-资金流量关系”的影响 被引量:2
14
作者 李向前 赵锐 王菊 《南开经济研究》 CSSCI 北大核心 2024年第6期185-203,共19页
ESG投资将环境、社会责任与公司治理因素纳入考虑范畴,重新定义了投资与市场的边界,是新经济形势下投资领域的热点话题。而ESG投资行为是否具有超额收益,更是在实业界和学术界引发了广泛关注和讨论。本研究以我国2016—2021年股票型和... ESG投资将环境、社会责任与公司治理因素纳入考虑范畴,重新定义了投资与市场的边界,是新经济形势下投资领域的热点话题。而ESG投资行为是否具有超额收益,更是在实业界和学术界引发了广泛关注和讨论。本研究以我国2016—2021年股票型和偏股混合型基金为研究对象,从投资组合优化的角度探讨了基金ESG投资行为与业绩的关系,研究发现,基金开展ESG投资能够获得超额收益,并且这一效果在疫情发生后和经济政策不确定性较卡时更加明显。究其原因,在于开展ESG投资的基金对绩优个股的识别和选择能力更好,使得投资组合在个股配置方面得到优化。此外,基金虽然能够通过ESG投资获取超额收益,但也会导致基金业绩与资金流入的正相关性变弱。以上结论不仅深化和丰富了当前关于ESG投资与投资业绩关系的研究,也为我国完善ESG投资体系,进一步推动高质量可持续发展战略提供了政策参考。 展开更多
关键词 ESG投资 基金超额收益 投资组合优化 选股择时 “业绩-资金流量关系”
在线阅读 下载PDF
多期贝叶斯强化学习鲁棒投资组合选择模型
15
作者 李柔佳 段启宏 +1 位作者 冯卓航 刘嘉 《工程数学学报》 CSCD 北大核心 2024年第2期232-244,共13页
在传统多期分布式鲁棒投资组合选择模型中,不确定集合的估计是一个具有挑战性的难题。使用贝叶斯强化学习方法来动态更新不确定集合中的一、二阶矩等模型参数,进而研究贝叶斯强化学习框架下均值–最坏鲁棒CVaR模型的求解问题。通过结合... 在传统多期分布式鲁棒投资组合选择模型中,不确定集合的估计是一个具有挑战性的难题。使用贝叶斯强化学习方法来动态更新不确定集合中的一、二阶矩等模型参数,进而研究贝叶斯强化学习框架下均值–最坏鲁棒CVaR模型的求解问题。通过结合动态规划和渐进对冲算法,设计了两层分解求解框架。下层通过求解一系列二阶锥规划来得到给定模型参数下子问题的最优策略,上层使用贝叶斯公式得到可实施的非预期投资策略。基于美国股票市场的实证结果表明:多期鲁棒强化学习投资组合选择模型相较传统模型具有更好的样本外投资表现。 展开更多
关键词 贝叶斯强化学习 鲁棒风险度量 投资组合 二阶锥规划
在线阅读 下载PDF
基于机器学习超参数优化的均值-方差投资组合决策研究 被引量:1
16
作者 张鹏 党世力 黄梅雨 《运筹与管理》 CSSCI CSCD 北大核心 2024年第11期197-203,共7页
本文提出一种基于机器学习超参数优化的均值-方差投资组合模型。该模型包括股票预测和投资组合优化两个阶段。具体上,首先,采用基于特定概率改进的萤火虫算法(pFA)优化XGBoost的超参数,构建pFAXGBoost混合模型预测股票的收益,并将其预... 本文提出一种基于机器学习超参数优化的均值-方差投资组合模型。该模型包括股票预测和投资组合优化两个阶段。具体上,首先,采用基于特定概率改进的萤火虫算法(pFA)优化XGBoost的超参数,构建pFAXGBoost混合模型预测股票的收益,并将其预测能力与XGBoost, LSTM和SVR模型进行比较。其次,选择具有较高预测收益率的股票构建股票池,且考虑交易成本与上下界约束条件下,采用MV和1/N模型构建预选股票的最优投资组合。基于沪深300指数成分股的实证分析显示,相较于其他模型和基准指数,pFAXGBoost+MV模型具有更优的收益与风险指标表现。 展开更多
关键词 均值-方差投资组合 机器学习 超参数优化 股票预测 萤火虫算法
在线阅读 下载PDF
具有实际约束的多阶段M-V投资组合时间一致性策略研究 被引量:1
17
作者 张鹏 李璟欣 +1 位作者 崔淑琳 曾永泉 《运筹与管理》 CSSCI CSCD 北大核心 2024年第1期205-211,共7页
从动态规划的角度分析,方差算子的不可分离性导致标准的多阶段均值-方差模型的最优投资策略不满足时间一致性。文章采用条件期望映射的方法,构建了一个具有交易成本、借贷约束和阈值约束的多阶段M-V投资组合模型。由于考虑了交易成本,... 从动态规划的角度分析,方差算子的不可分离性导致标准的多阶段均值-方差模型的最优投资策略不满足时间一致性。文章采用条件期望映射的方法,构建了一个具有交易成本、借贷约束和阈值约束的多阶段M-V投资组合模型。由于考虑了交易成本,该模型是一个具有路径依赖性的动态优化问题。为了获得其时间一致性投资策略,文章将该问题近似地转化为连续性动态规划模型,证明最优解的近似度,并运用离散迭代算法求解。最后,使用上海证券交易所的部分历史数据验证了模型和算法的有效性。 展开更多
关键词 多阶段投资组合 均值-方差 交易成本 时间一致性策略 离散迭代法
在线阅读 下载PDF
基于复杂多维场景生成的M-CVaR-高阶矩投资组合研究
18
作者 王帅 王建州 《统计研究》 CSSCI 北大核心 2024年第12期136-150,共15页
构建合理的投资组合能够实现资金的有效配置,对于提高收益和降低风险至关重要。随着机器学习方法的蓬勃发展,深度学习和智能优化算法等新兴技术与投资组合的融合正在不断改变传统的投资方式。本文首先基于一种生成式深度学习方法--最小... 构建合理的投资组合能够实现资金的有效配置,对于提高收益和降低风险至关重要。随着机器学习方法的蓬勃发展,深度学习和智能优化算法等新兴技术与投资组合的融合正在不断改变传统的投资方式。本文首先基于一种生成式深度学习方法--最小二乘生成对抗网络,模拟证券未来收益的复杂多维场景,从而有效把握资产未来收益的不确定性信息。其次,拓展不确定性场景下投资组合的CVaR及收益率高阶矩的估计方式,以解决复杂多维场景计算下的投资损失控制问题。构建多目标投资组合优化问题,弥补仅考虑预期收益和CVaR而忽略高阶矩风险的不足。最后,引入Tent混沌映射和混合惩罚函数以改进NSGA-Ⅲ,从而求解该高维、高阶矩、非线性问题。实证研究以市场规模大且流动性好的上证50指数成份股构建投资组合,结果表明所构建的新模型在样本外累积收益和夏普比率等评价指标上表现更好。本文提出的投资组合模型有助于提高样本外投资绩效,同时也丰富了目前投资组合方法论研究。 展开更多
关键词 投资组合 条件风险价值 最小二乘生成对抗网络 机器学习 多目标优化
在线阅读 下载PDF
多阶段均值—标准差投资组合时间一致性策略研究
19
作者 张鹏 崔淑琳 《华南师范大学学报(自然科学版)》 CAS 北大核心 2024年第2期91-99,共9页
文章运用标准差度量投资组合的风险,考虑交易成本、借贷约束和阈值约束等情况,提出了具有Vasicek随机利率和风险偏好的多阶段均值-标准差投资组合模型(V-M-SD)。基于博弈论的方法,将该模型转化为时间一致的动态优化问题,并使用离散近似... 文章运用标准差度量投资组合的风险,考虑交易成本、借贷约束和阈值约束等情况,提出了具有Vasicek随机利率和风险偏好的多阶段均值-标准差投资组合模型(V-M-SD)。基于博弈论的方法,将该模型转化为时间一致的动态优化问题,并使用离散近似迭代法求解满足时间一致性的最优投资组合。最后,实证分析借贷约束、阈值约束和风险规避系数对V-M-SD模型的最优时间一致性策略的影响。研究发现,当其他约束条件保持不变时,在一定的阈值范围内,投资组合的终期财富分别与借贷约束、阈值约束、风险规避系数正相关、正相关、负相关;投资组合的单位风险水平分别与借贷约束、阈值约束、风险规避系数负相关、负相关、正相关。 展开更多
关键词 多阶段投资组合 均值-标准差 时间一致性策略 Vasicek随机利率 离散近似迭代法
在线阅读 下载PDF
收益率为模糊数的加权证券组合选择模型 被引量:7
20
作者 徐维军 徐寅峰 +1 位作者 王迅 张卫国 《系统工程学报》 CSCD 北大核心 2005年第1期6-11,共6页
Markowitz基于概率理论建立了有名的均值方差证券组合模型,文章则基于模糊理论建立了一类具有权系数的均值方差证券组合模型.首先对证券市场上的收益与风险特性重新进行度量和刻画,提出了一类新的具有加权的可能性均值、方差及协方差的... Markowitz基于概率理论建立了有名的均值方差证券组合模型,文章则基于模糊理论建立了一类具有权系数的均值方差证券组合模型.首先对证券市场上的收益与风险特性重新进行度量和刻画,提出了一类新的具有加权的可能性均值、方差及协方差的概念,类似于概率论中均值方差的分析讨论了这些概念的性质.其次基于该文定义的均值方差,建立了以收益率为模糊数的加权可能性证券组合投资模型,并给出了相应的加权可能性有效证券组合及有效前沿概念.通过求解两个相对应的优化模型得到了一个具有带状投资区域的有效前沿.尤其当资产收益率具有线性或分段线性隶属函数的模糊数时,该证券组合选择模型实质上为一个线性规划问题,因此有效前沿可化为一个具有折线段的带状投资区域. 展开更多
关键词 模糊数 可能性原理 证券组合选择 有效证券组合 有效前沿
在线阅读 下载PDF
上一页 1 2 11 下一页 到第
使用帮助 返回顶部