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第40届中国控制会议

作者： Xiaolian Meng Yue Shan School of Economics and Management Nanjing University of Science and Technology

In recent years,the downside risk measure is considered to be more in line with investors’ attitudes towards *** purpose of this paper is to establish a diversified portfolio selection model under the downside risk ***,a fuzzy mean semi-absolute deviation-semi-variance-proportional entropy portfolio selection model with transaction costs is proposed,based on Markowitz’s mean-variance model,in which semi-absolute deviation and semi-variance are taken as the risk *** is to say,the possibilistic mean of the investment rate of return is used to quantify the return of the portfolio,and the possibilistic semi-absolute deviation and possibilistic semi-variance are used to measure investment *** shortcomings of semi-absolute deviation or semi-variance as a risk measure individually can be overcome when the semi-absolute deviation is combined with semi-variance as a dual risk ***,a proportional entropy function based on the Minkowski measure is used to construct the proposed model to diversify the ***,a new multi-objective bat algorithm is designed to solve the model,and the experiments were conducted by using data from the Shanghai Stock Exchange to prove the effectiveness of the model.

关键词： Portfolio semi-variance semi-absolute deviation Proportional entropy Fuzzy set

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A Nonlinear Interval Portfolio Selection Model and Its Application in Banks

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Journal of Systems Science & Complexity 2018年第3期31卷 696-733页

作者： YAN Dawen HU Yaxing LAI Kin Keung Faculty of Management and Economics Dalian University of Technology Dalian 116024 China School of Mathematical Science Dalian University of Technology Dalian 116024 China Bank of Dalian Dalian 116001 China School of Mathematical Science Dalian University of Technology Dalian 116024 China International Business School Shaanxi Normal University Xi'an 710062 China College of Management Xidian University Xi'an 710126 China

In classical Markowitz＇s Mean-variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.

关键词： Downside-risk management interval return portfolio selection semi-variance simulation.

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Spatial correlations in ground motion intensity measuring from the 2023 Türkiye earthquake

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Earthquake Research Advances 2024年第1期4卷 14-22页

作者： Guoliang Shao Ruizhi Wen Hongwei Wang Yeifei Ren Baofeng Zhou Key Laboratory of Earthquake Engineering and Engineering Vibration Institute of Engineering MechanicsChina Earthquake AdministrationHarbin150080 China Key Laboratory of Earthquake Disaster Mitigation Ministry of Emergency ManagementHarbin150080 China

When evaluating an area's seismic risk or resilience,it is necessary to use the spatial correlation to analyze the ground motion parameters of multiple sites together in an *** two large earthquakes in Türkiye provided the possibility for spatial correlation analysis of ground motion intensity measurements in this *** on the strong motion records provided by The Disaster and Emergency Management Authority of Türkiye(AFAD),this study uses the local ground motion prediction equation in Türkiye to give spatial correlation analysis of Intensity *** study gives an exponential model based on a semivariogram and compares it with the correlation model obtained from previous studies.

关键词： Spatial correlation semi-variance Türkiye GMPE

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Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

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Financial Innovation 2019年第1期5卷 359-386页

作者： Massimiliano Kaucic Mojtaba Moradi Mohmmad Mirzazadeh Department of Economics BusinessMathematics and StatisticsUniversity of TriestePiazzale Europa 134127 TriesteItaly Department of Industrial Engineering Faculty of Technology and EngineeringEast of GuilanUniversity of Guilan44891-63157 Rasar-VajargahIran Department of Engineering Sciences Faculty of Technology and EngineeringEast of GuilanUniversity of Guilan44891-63157 Rasar-VajargahIran.

In this study,we analyze three portfolio selection strategies for loss-averse investors:semi-variance,conditional value-at-risk,and a combination of both risk ***,we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evolutionary algorithm 2 to tackle this optimization *** effectiveness of these algorithms is compared with two alternatives from the literature from five publicly available *** computational results indicate that the proposed algorithms in this study outperform the others for all the examined performance ***,they are able to approximate the Pareto front even in cases in which all the other approaches fail.

关键词： Multi-objective portfolio optimization semi-variance CVaR NSGA-II SPEA 2 Intermediate crossover Gaussian mutation

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