Research On Fuzzy Portfolio Decision Considering Inflation

In the rapid economic development,investment has become a common financial tool.More and more attentions have been paid to it.In 1952,measuring investment returns by means and investment risk by variances,Markowitz established a mean-variance portfolio selection optimization model.The establishment was under some certain assumptions.However,the real financial market is full of complexity and uncertainty.Investors need to fully consider the impact factors in many aspects,among which inflation is a factor that can not be ignored.The main reason is that investors always measure future returns based on the current price level while investing,and changes in inflation will affect the purchasing power of cash,thus affecting the actual value of investors' investment returns.That is to say,the purpose of investors' investment is to obtain the expected actual income.But the change of inflation rate wil increase the uncertainty of investor's expected return and add the investment risk.Therefore,whether inflation affects the risk of the portfolio,and how to reasonably and effectively allocate assetsunder the condition of inflation is an issue that investors are concerned about.The actual financial environment is often affected by some non-random factors.The information obtained by investors is usually incomplete or ambiguous.So the issue of portfolio selection considering fuzzy uncertainty is also one of the important fields studied by the academic community.In summary,based on the credibility theory,this paper introduces inflation factors into different fuzzy portfolio optimization models,and establishes fuzzy portfolio optimization models with inflation factors under different circumstances.Then,combining specific data and using the particle swarm optimization algorithm,the optimal investment strategy under different models was solved.By comparing the obtained data,the impact of inflation rate changes on investment risk and investment strategy was systematically analyzed,thus validating the rationality and necessity of the model.The main research work of this article includes the following three aspects:(1)Based on the credibility theory,the inflation factor is introduced into the Mean-Variance Portfolio selection model.Due to the uncertainty of inflation rate,the inflation rate is regarded as a fuzzy variable.And the fuzzy portfolio based on inflation factors are established.A fuzzy Mean-Variance Portfolio selection model are respectively presented when the risk asset return rate and inflation rate are triangular,trapezoidal fuzzy variables.The particle swarm optimization algorithm is used to solve the model,and the investment risk and investment strategy under different inflation rates are given.The empirical results show that the fuzzy the Mean-Variance Portfolio selection model with inflation factor can more accurately reflect the actual investment of investors.(2)Based on the credibility theory,the absolute deviations of trapezoidal and triangular fuzzy are deduced.Taking the inflation factor into the mean-absolute deviation portfolio model,the mean-absolute deviation fuzzy portfolio model including inflation factor is established.It also gives the model equivalent when the risk asset return rate and inflation rate are triangular fuzzy variables.Then the particle swarm optimization algorithm is used to solve the equivalent model.The optimal portfolio and effective frontier under different inflation are discussed.(3)Based on the credibility theory,the sinusoidal entropy of triangular fuzzy variables is derived.The sinusoidal entropy is used as the risk measure.The mean-absolute bias-sine-entropy portfolio model considering the inflation factors is constructed.The model is empirically studied to find the optimal investment strategy under different inflation rates,the result reflects the superiority of the mean-absolute deviation-sine entropy model.