基于前景理论的跨市场状态转移多阶段资产配置研究  

Research on Cross Market Regime Switching Multi-period Asset Allocation Based on Prospect Theory

作　　者：王佳[1,2] 金秀 王旭[3] 李刚 WANG Jia;JIN Xiu;WANG Xu;LI Gang(College of Business Administration,Northeastern University,Shenyang 110819,China;School of Economics,Northeastern University at Qinhuangdao,Qinhuangdao 066004,China;School of Economics,Hebei University of Environmental Engineering,Qinhuangdao 066102,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819 [2]东北大学秦皇岛分校经济学院,河北秦皇岛066004 [3]河北环境工程学院经济学院,河北秦皇岛066102

出　　处：《中国管理科学》2018年第12期44-55,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71601040,71571041,71601041);中央高校基本科研业务专项资金资助项目(N172304020);中国博士后科学基金资助项目(2018M631797)

摘　　要：在行为金融前景理论框架下研究跨市场间的状态转移资产配置问题,构建隐Markov——混合正态分布模型描述股票、债券和商品混合市场间的状态特征,用Baum-Welch算法估计模型参数,并利用状态转移思想进行情景生成建立多阶段随机优化模型。进一步,以我国股票、债券和商品混合市场的实际数据为背景,利用滚动窗口方法实证分析基于状态转移的多阶段随机模型的表现,并与忽略状态转移特征的基准模型、等权重组合、沪深300指数的结果进行对比。结果表明,与其他组合相比,基于状态转移的投资组合有助于规避风险,且混合市场间的状态转移信息能够对前景理论投资者的最优投资决策产生影响。With the increasing interactivity of financial markets, the single risk market cannot meet the actual investment needs. There have been academic studies indicating that the fluctuation of asset returns in the market can be influenced by the economic cycle which shows different characteristics under different market conditions. Meanwhile, in the actual investment, investors often deviate from the expected utility theory. In this paper, under the framework of prospect theory and behavioral finance, an asset allocation problem among cross-markets with regime switching is studied. Hidden Markov regime switching-mixture normal distribution is constructed to describe time-varying regimes in the stock market, the bond market and the commodity market, the parameters of which are estimated by the Baum-Welch algorithm. Moreover, with scenarios generated under regime switching, a multi-period stochastic optimized model is constructed. Further, against the background of the stock market, the bond market and the commodity market in China, the performance of multi-period stochastic model is empirically analyzed by the use of rolling window method, which is compared with the results of standard dynamic model ignoring regime switching, equally weighted portfolio and hs300 index. It is concluded that compared with other portfolio, regime switching portfolio helps avoid risk, and under the prospect theory, regime switching information of hybrid markets can have an effect on optimal decision of prospect theory investors. The conclusions show that compared with risk investment with single market, the multi-period asset allocation of cross-markets under the framework of the prospect theory contributes to avoiding risk. Especially when the market performs poorly, introducing regime switching information can affect the investment decision, and is beneficial for investors to obtain stable returns. Above all, certain reference meanings can be provided for the risk management of capital market in China and institutional investors and fund

关 键 词：前景理论 隐MARKOV模型 混合正态分布 动态随机规划 

分 类 号：F830.9[经济管理—金融学]