损失厌恶投资者最优消费和投资组合选择理论的研究进展  

Research advances on the theory of optimal consumption and portfolio for loss aversion

作　　者：罗旭[1] 费为银[1] 夏登峰[1] LUO Xu FEI Weiyin XIA Dengfeng(School of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000)

机构地区：[1]安徽工程大学数理学院,芜湖241000

出　　处：《南京信息工程大学学报（自然科学版）》2017年第4期437-444,共8页Journal of Nanjing University of Information Science & Technology（Natural Science Edition）

基　　金：国家自然科学基金(71171003;71571001)

摘　　要：自Markowitz投资组合理论问世以来,投资组合选择问题就受到了国内外很多学者的关注,并对其进行了大量研究.本文首先阐述了现代投资组合的理论框架,然后介绍了不同时期国内外学者的研究成果和方法,接着较为详细地介绍了带有行为投资的最优消费和投资组合问题并给出了含损失厌恶的投资组合模型,最后在通胀、跳扩散以及Knight不确定环境下对含有损失厌恶的最优消费和投资组合模型进行了拓展.Since the advent of the Markowitz portfolio theory,the portfolio choice problem has been concerned and researched by many scholars.In this paper,we first explain the theoretical framework of modern portfolio,and introduce the main researchers and their studied results as well as methods in different periods.Then we discuss the optimal consumption-portfolio problem with behavioral portfolio in detail and a portfolio model with loss aversion is presented. Finally,we give the expansion of the framework of the consumption and investment portfolio model with loss aversion under the inflation,the jump-diffusion and the Knight uncertainty.

关 键 词：行为金融 损失厌恶 投资组合 通胀 跳扩散 Knight不确定 鞅方法 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]