基于多属性模糊决策的行为投资组合优化模型  

Behavioral Portfolio Optimization Model Based on Multiple Attribute Fuzzy Decision-making

作　　者：方勇[1] 孙绍荣[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《商业研究》2008年第5期11-15,共5页Commercial Research

基　　金：国家自然科学基金;项目编号:70271005;70471066;上海市重点学科资助建设项目;项目编号:T0502;上海市基础研究重点项目;项目编号:03JC14054;2005年上海高校选拔培养优秀青年教师科研专项基金

摘　　要：Simon认为经典决策理论的假定过分地严格,在实际中往往难以满足。运用上、下偏矩的方法来估计未来财富不低于渴求水平的概率,并基于多属性模糊决策方法构建两个心理帐户的行为投资组合优化模型。模型中融入了不同质投资者的真实情感、信念及认知状态,实证分析的结果表明该模型具有很强的实用性和包容性。Simon believes that traditional decision -making theory is excessively strict and cannot satisfy the factual cases. In this paper, the probability of the event that future wealth is no less than the aspiration level is estimated with the method of upper and lower partial moment, and a behavioral portfolio optimization model of two mental accounts is presented based on multiple attribute fuzzy decision -making. The real emotion, belief and cognitive states of heteroge neous investors are incorporated in the model and the result of empirical analysis indicates proves very practical.

关 键 词：行为金融学 行为投资组合 多属性模糊决策 模糊流动性 优化模型 

分 类 号：F830.59[经济管理—金融学]