Fuzzy Multi-period Portfolio Model With Different Investor Risk Attitudes

As the core of modern financial theory,portfolio theory studies how to allocate the wealth of investors to different assets according to their investment intention and different risk attitudes.The behavior of investors in the actual decision often shows multi stage characteristics.And their decision-making is also affected by many uncertain factors.Markowitz,as the founder of the modern portfolio investment theory,proposed the classical mean-variance model.After that,many researches have been carried out on this basis.These scholars not only extend the investment period from one period to the multi period,but also study the problem in the fuzzy environment.The combination of fuzzy mathematics and optimization theory has changed the deficiencies of the investment environment with random uncertainties.In recent years,many scholars have incorporated the behavioral finance theory into the portfolio model construction,and changed the former hypothesis of investor risk aversion and invariable,and explored the influence of investor sentiment on portfolio decision-making.However,although the existing research theory has involved in the multi-period portfolio selection problem in fuzzy environment,the research on the multi-period fuzzy combination problem with investor risk preference and the feedback control theory is limited.Investors’ risk preference has become an important research direction in the behavioral finance,and is of great significance in expanding portfolio research and practical application.This paper is based on the classical mean-variance model and combines the investors’risk preference coefficient k,fuzzy number theory,feedback control theory and the idea of multi-period portfolio to the improvement of the model.The theory of feedback control is applied to the model construction to reflect the difference between the expected return and the actual income how to influence the investment decision.In order to analyze how investors make investment decisions under the certain k value,as well as the analysis of investors’ decision-making and the changes of the terminal wealth under the different k value,this paper randomly select eight stocks and used their history week yield data in 2007 to 2016 years to carry on the empirical analysis.Finally the genetic algorithm is used to solve the model and empirical analysis.The empirical result shows that the investors’decision-making is different under the different risk preference,and in a given time limit and the choice of stock,the larger the k,the investor’s terminal wealth is smaller.The results are in conformity with the actual stock market investment environment,and also provides a new reference for the choice of investment decision...