Research On The Portfolio Of The Background Risk In The Fuzzy Environment

The portfolio studies the investment strategy choice of investors in the financial market how to distribute the wealth reasonably in order to reduce the risk and increase the wealth.Investors should not only deal with the uncertain risk,but also face the background risk caused by their own factors.Background risk refers to the risk that can not be dispersed through asset portfolio allocation in the financial market,that is,labor income,entrepreneurial income,proprietary business income,real estate investment,unexpected expenses caused by health problems.Risks caused by health insurance and essential living expenses(independent of income).The main research contents of this thsis are as follows:1.Taking into account the background risk factors,this paper makes use of the fuzzy set and the possibility theory to establish a fuzzy investment portfolio with background risk in different risk attitudes;At the same time,considering the transaction cost,the possibility mean-lower half variance model is established.A particle swarm optimization algorithm with selection rules for solving the model is proposed for numerical experiments.The results show that the model is reasonable and the algorithm is feasible.2.Considering the actual situation risk of Chinese financial market transaction,in order to reduce the investment risk,the improved possibility entropy is introduced,and the possibility mean-lower half variance entropy model with different risk attitudes with background risk and transaction cost is established.In order to solve the multi-objective model,an improved differential evolution algorithm is proposed and a numerical example is given.Numerical results show that the proposed algorithm is effective and the model is in line with the reality.3.In view of the fact that the choice of the assets by the investors in real life is often multi-stage,it can reallocate its wealth,so the research of the portfolio will transition from a single stage to a multi-stage.The base constraint of the asset is added,and the multi-stage portfolio model is constructed.The model is solved by the genetic algorithm,which verifies that the model is reasonable.