Reaearch On Uncertain Portfolio Model Considering Transaction Cost

With the integration of the global economy,more and more investors begin to invest their own funds in the securities market.According to certain investment strategies,the investors’ funds can realize the relative maximization of returns and reduce the risks caused by market changes by investing assets in different risk assets.Therefore,how to get the optimal financial decision and asset allocation has become the focus of many scholars and investors.Based on the transaction cost,this paper studies three kinds of portfolio models,and focuses on solving the financial problems in the actual financial market by using the portfolio model,so as to provide a strong scientific basis for investment.Firstly,the portfolio model with improved transaction cost under stochastic uncertainty is studied.In this paper,the improved transaction cost is introduced into the income objective function;CVa R is used as the risk measurement method,under the constraint of investment proportion,a multi-objective portfolio model with the maximum income and the minimum risk is established,and the model is empirically analyzed to verify the effectiveness of the model.Secondly,the subjective fuzzy uncertainty portfolio model is studied.Expert experience method is used to obtain the subjective distribution of stock return.Firstly,based on the uncertainty theory,the portfolio models with linear transaction costs and nonlinear transaction costs are analyzed.Secondly,in the numerical experiment,the numerical solution of the model is given and compared with the model without transaction costs.Finally,the relationship between the risk of the model and the expected return is analyzed The relationship shows that the model with transaction cost has better stability in numerical results.Finally,the objective Fuzzy Uncertain portfolio model is studied.Combined with the relevant fuzzy theory,the fuzzy distribution of stock return rate is obtained byobjective statistical method.In order to overcome the defect of the mean variance portfolio model in the calculation of risk measurement with variance,the second-order moment of investment return is considered as the risk measurement function,which simplifies the model solving problem when the multi asset investment is distributed.In order to fully consider the multiple risks of investment,on the basis of the existing transaction costs,background risk and the liquidity of securities that investors are very concerned about are introduced into the general portfolio model.Under the realistic constraints,the minimum risk portfolio model is established;the last part of stocks are selected for empirical analysis to verify the fuzzy investment considering background risk and liquidity The validity of the combination model and its applicability to the real financial market.