下偏矩方法在行为投资组合优化中的应用  

An Application of Lower Partial Moment in Behavioral Portfolio Optimization

作　　者：方勇[1] 孙绍荣[1] 

机构地区：[1]上海理工大学管理学院

出　　处：《系统工程》2008年第7期103-107,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(7027100570471066);上海市重点学科资助建设项目(T0502);上海市基础研究重点项目(03JC14054)

摘　　要：在行为投资组合优化过程中,机会约束的转化是一个关键问题。本文运用下偏矩的方法将机会约束转化为线性约束,并将证券的未来期望收益率表示为区间数,建立了一个行为投资组合优化模型,并运用中国证券市场的实际数据进行了实证分析。通过区间数的设置,投资者的认知状态和专家的知识被有机地融入到模型中,并且下偏矩中的收益率参考水平通过样本由模型内生,因此本文所构建的行为投资组合优化模型具有很强的包容性和实用性。How to transform chance constraint is a key problem in the optimization of behavioral portfolio. In this paper, chance constraint is transformed to linear constraint by using lower partial moment, and the expected returns of securities are denoted by interval numbers, therefore a behavioral portfolio optimization model is established and an empirical analysis is conducted according to the practical data of Chinese stock markets. The cognitive states and the knowledge of experts are efficiently incorporated into the model by the setting of interval numbers, and the return reference level in lower partial moment is determined endogenously by the sample and model, so the model presented in this paper is very inclustive and practical.

关 键 词：行为金融学 行为投资组合 机会约束 下偏矩 区间数 优化模型 

分 类 号：F830[经济管理—金融学]