近期，上海金融智能工程技术研究中心弓晓敏博士、于长锐教授发表JCR一区论文一篇

论文信息：

Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels（一致模糊环境下具有动态风险容忍和期望收益水平的多周期投资组合研究）

Published in: Applied Soft Computing（JCR一区，IF: 6.725）

We discuss the portfolio selection problems in which the uncertainty of future returns and the heterogeneity of investor attitudes towards the stock market (optimistic–pessimistic–neutral) are captured by coherent fuzzy numbers. Two coherent fuzzy multi-period portfolio selection models are developed from the perspectives of wealth maximization and risk minimization. Given that the constraint levels regarding risk and return of the current period tend to be influenced by the outcome of the previous period, the dynamic risk-tolerance and expected-return levels are integrated into the portfolio modeling. Practical constraints and transaction costs are also taken into account, which enables the models more effective and lifelike in simulating the real-world trading of the stock market. The empirical studies based on two large data sets are presented to illustrate the applicability of the proposed models. To survey the models’ performance, several portfolio evaluation criteria are used to conduct out-of-sample analysis. The results show outstanding performance of the presented models with dynamic strategies over conventional ways (static risk-tolerance and expected-return levels) on most of the indicators. This research offers references for investors with different attitudes to make long-term investment decisions, and is an effective supplement to behavioral portfolio selection research based on bounded rationality under uncertainty.

作者信息：

弓晓敏，上海金融智能工程技术研究中心成员，上海财经大学新聘研究员，上海财经大学金融学院教师，上海财经大学金融科技研究院成员，主要研究方向：金融科技，投资组合选择与优化，行为金融，建模优化等。

于长锐，上海金融智能工程技术研究中心成员，上海财经大学信息管理与工程学院教授，博士生导师，  主要研究方向：量化金融、投资组合选择与优化、数据挖掘。