基于前景价值与下偏二阶矩的投资组合优化研究  

Behavioral Portfolio Optimization based on Prospect Theory and Lower Partial Secondary Moment

作　　者：詹泽雄[1] 吴宗法[1] 程国雄[1] 

机构地区：[1]同济大学经济与管理学院,上海201804

出　　处：《北京理工大学学报（社会科学版）》2017年第2期55-66,共12页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：同济大学-上海正享投资基金科研项目资助(20120641);上海市教育委员会科研创新项目资助(09YS510)

摘　　要：以均值方差模型为代表的现代投资组合理论基于经典期望效用理论,忽略了有限理性人决策行为特征及风险的心理感知对投资组合选择的影响。前景理论刻画了投资者行为特征并将其纳入到价值函数中,下偏矩方法对下侧风险的测度更符合人们对风险的心理感知,使两者在行为投资组合研究中得到广泛应用。基于前景价值与下偏二阶矩的投资组合模型兼顾投资者的价值与风险感知,在行为投资组合框架下,以区间数的方式将三参照点理论与前景理论参照效应结合,用基于前景价值的下偏二阶矩计量风险,建立投资组合优化模型,并利用有序加权平均算子求解。实证研究发现:基于前景价值和下偏二阶矩的投资组合模型与传统投资组合模型具有相似的有效前沿和更优的性质。基于前景价值与下偏二阶矩的投资组合模型拓展和丰富了投资组合理论。The modern investment portfolio theory represented by Mean-Variance model builds upon the classic expected utility theory, which does not take behavioral features and psychological perception of risk into consideration of bounded rational ＇s portfolio selection. Prospect theory and lower partial moment model widely applied in behavioral portfolio selection model as prospect theory involves the behavioral features of bounded rational into value function, while measuring risk with the lower partial moment method is more aligned with actual personal psychological perception of risk. Under behavioral portfolio theory framework, the prospect value and lower partial moment-based portfolio selection model combines investor＇s value and risk perception, integrates the tri-reference point theory with reference dependence effect by using interval number, calculates portfolio risk with lower partial secondary moment based on prospect value and solve the optimization problem with continuous ordered weighted operator. The empirical research demonstrates that the efficient frontier of the prospect value and lower partial moment based portfolio selection model is similar to traditional model with good properties. The prospect value and lower partial moment-based portfolio selection model develops the portfolio selection theory.

关 键 词：前景理论 下偏矩 行为投资组合 三参照点 狭窄框定 

分 类 号：F830[经济管理—金融学]