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Portfolio optimization in real financial markets with both uncertainty and randomness

机译：具有不确定性和随机性的真正金融市场的投资组合优化

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摘要

Financial market is a complex system full of unknown and indeterminacy. It is well known that uncertainty and randomness are two basic types of indeterminacy. Hence, the complexity of real financial markets may lead to various types of security returns. They are usually assumed as random variables when there are enough historical data. If there is a lack of available data, they can be considered as uncertain variables. However, uncertainty and randomness often exist simultaneously. In this paper, we consider a portfolio optimization problem in real financial markets with both uncertainty and randomness. First, the skewnesses for three kinds of uncertain random variables are derived. Then, in an uncertain random environment, considering different risk preferences, a mean-variance-skewness model for the portfolio optimization problem is proposed. In addition, we use the normalization method to eliminate the impact of investment returns and risks of different units. Finally, numerical simulations are carried out to show that the proposed model is realistic and applicable.
机译：金融市场是一种复杂的系统，充满了未知和不确定。众所周知，不确定性和随机性是两种基本类型的不确定性。因此，实际金融市场的复杂性可能导致各种类型的安全回报。当有足够的历史数据时，它们通常被认为是随机变量。如果缺乏可用数据，它们可以被视为不确定的变量。但是，不确定性和随机性通常同时存在。在本文中，我们考虑了实际金融市场的投资组合优化问题，具有不确定性和随机性。首先，推导出三种不确定随机变量的偏差。然后，在不确定的随机环境中，考虑到不同的风险偏好，提出了一种用于组合优化问题的平均方差 - 偏差模型。此外，我们使用规范化方法来消除不同单位的投资回报和风险的影响。最后，进行了数值模拟以表明所提出的模型是现实的和适用的。

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  • 来源
    《Applied Mathematical Modelling》 |2021年第12期|125-137|共13页
  • 作者

    Bo Li; Kok Lay Teo;

  • 作者单位

    School of Applied Mathematics Nanjing University of Finance and Economics Nanjing 210023 China;

    School of Mathematical Sciences Sunway University Bandar Sunway 47500 Malaysia Coordinated Innovation Center for Computable Modeling in Management Science Tianjin University of Finance and Economics Tianjin 300222 China;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Uncertain random variable; Chance distribution; Portfolio optimization; Return rate; Skewness;

    机译：不确定的随机变量;机会分配;投资组合优化;回程;歪斜;

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