考虑交易费用的具有不确定收益的投资组合模型

在投资新股票时,由于没有历史数据的支撑,很难用一般的方法对新生股票的收益和风险做出预测。为了更好地处理这种问题,提出了两类具有不确定收益率的投资组合模型,并通过数值实验对模型进行了求解;首先,基于不确定理论分别对具有线性交易费用和非线性交易费用的投资组合模型进行了分析;然后,在数值实验中,给出了模型的数值解,并与不带交易费用的模型进行了对比;最后,分析了模型的风险与期望收益之间的关系,表明带交易费用的模型在数值结果上具有更好的稳定性。

Portfolio Model with Uncertain Returns Considering Transaction Costs

When investing in new stocks, it is difficult to predict the returns and risks of new stocks by general methods because of the lack of historical data.In order to deal with this problem better, two kinds of portfolio models with uncertain returns are proposed and solved by numerical experiments.Firstly, the portfolio models with linear transaction costs and non linear transaction costs are analyzed based on uncertainty theory.Then, in the numerical experiment, the numerical solution of the model is given and compared with the model without transaction cost.Finally, the relationship between risk and expected return is analyzed, which shows that the model with trans- action cost has better stability in numerical results.