含有无风险资产的情绪最优投资组合  

Sentiment-based Portfolio with Risk Free Asset

作　　者：谢军[1,2] 杨春鹏[1] 闫伟[1] 

机构地区：[1]华南理工大学金融证券研究中心,广州510006 [2]广西大学数学与信息科学学院,南宁530004

出　　处：《系统管理学报》2012年第4期540-545,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70871042)

摘　　要：基于投资者情绪构建了含有无风险资产的投资组合模型,并给出了模型的解析解及有效边界方程。研究表明,投资者情绪是影响投资组合各资产权重及组合有效边界斜率的重要因素。投资者对风险资产的情绪高涨(低落),将导致最优投资组合中无风险资产的份额下降(上升)及投资组合有效边界的斜率增大(减小)。最后,通过人民币储蓄存款与投资者情绪进行回归分析,实证检验了本文模型的结论,投资者情绪与无风险资产投资负相关,进而从投资者情绪角度有效解释了资金搬家这一中国金融市场的重要现象。We construct a sentiment-based optimal portfolio model which includes the risk free asset,and derive the analytical solution and the efficient frontier equation.We then carry out a numerical simulation of the model.The analysis verifies that investor sentiment is a key factor,which affects the investment weight of asset and the efficient frontier.When the sentiment increases（declines）,the investment weight of risk free asset will be lower（higher） and the slope of efficient frontier will increase（decrease）.The finding is also supported through empirical analysis.The empirical results show that RMB saving deposit is significantly negative with the investor sentiment,which interprets the ＂Moving Money＂（the important phenomenon in Chinese financial market） by investor sentiment.

关 键 词：投资者情绪 投资组合 无风险资产 

分 类 号：F830[经济管理—金融学]