基于下偏矩风险的行为投资组合模型研究  

Research on behavioral portfolio theory based on low partial moments risk

作　　者：彭飞[1] 史本山[2] 黄登仕[2] 

机构地区：[1]华南师范大学经济与管理学院,广州510631 [2]西南交通大学经济管理学院,成都610031

出　　处：《管理科学学报》2008年第6期95-102,111,共9页Journal of Management Sciences in China

基　　金：中国博士后基金资助项目(20070410833);广东省自然科学基金资助项目(7300427)

摘　　要：基于下偏矩风险测度,提出了 LBPT 行为投资组合模型.LBT 模型在风险测度指标、假设应用前提和决策考虑因素等方面不同于 BPT 模型,体现出投资者既追求最低保障又追求一朝大富的决策心理.此外还讨论了模型参数 B 的含义和取值,并对单心理账户模型(LBPT-SA)进行转换得到了线性规划形式.与 BPT-SA 模型不同的是,投资实例表明无论在高期望水平还是低期望水平上 LBPT-SA 模型的有效前沿都与均值——方差模型有效前沿相似.LBPT 模型的显著优点是可转化为线性规划模型并应用于实际投资组合中.Based on lower partial moments risk measure, we establish a lower partial moments behavior portfoliotheory （LBPT）. We discuss the meanings of model parameter B and how to choose, and get the linear programming form of single mental account LBPT （LBPT-SA）. Example analysis shows that the LBPT-SA efficient frontier resemble that of MV bolt with high aspiration and with low aspiration, as is different with BPT. There are also some differences between LBPT and BPT in risk measure index, hypothesis precondition and factors which affect investors＇ decision making. LBPT also shows such psychology pattern in decision making that investors want to avoid poverty as well as want a shot at riches. More importantly, LBPT can be translated into linear programming form and applied into real world portfolio.

关 键 词：下偏矩风险 心理账户 投资组合 

分 类 号：F832.5[经济管理—金融学]