Multi-Period Portfolio Model Based On Credibility And Demonstration

Balancing the return and risk of investment and determining the investment proportion of each risky asset is one of the important contents of portfolio research.However,the investment behavior is generally long-term,which makes the multi-period portfolio problem become a research hotspot of portfolio selection.Based on the credibility theory,this thesis studies the multi-period portfolio selection problem.By considering the return and risk of assets as fuzzy numbers,and adopting different risk measurement indicators(fuzzy entropy,fuzzy Sharp Ratio,CVaR),a new fuzzy portfolio model is established and extended to multi-period.In this thesis,the main research results are as follows:(1)For the portfolio problem of using triangular fuzzy numbers to express the return on assets,this thesis uses CVaR to measure investment risk and entropy to disperse investment.Under the condition that the return of investment portfolio satisfies the expectation of investors,taking the minimum risk of portfolio as the decision-making objective,constructs a CVaR fuzzy portfolio model with entropy constraints,and makes an empirical analysis of the proposed model.In addition,the model is extended to the multi-period situation,making it closer to the real investment behavior of investors.(2)Using fuzzy entropy to measure investment risk and Sharp ratio to measure investment efficiency,taking the minimum risk investment performance and the maximum end-term wealth of the portfolio as the decision-making objectives,a multi-period portfolio model is constructed,and the multi-objective model is transformed into a single-objective model by the ideal point method.Finally,an empirical analysis is carried out to verify the effectiveness of the model.