含时变风险厌恶系数的异质信念模型及实证分析  

Heterogeneous Belief Model with Time-varying Risk Aversion Coefficient and Its Empirical Analysis

作　　者：潘正红 师恪[1] 徐燕霞 PAN Zheng-hong;SHI Ke;XU Yan-xia(School of Mathematics and Systems Science, Xinjiang University, Urumqi 830046, China)

机构地区：[1]新疆大学数学与系统科学学院

出　　处：《数学的实践与认识》2019年第10期33-41,共9页Mathematics in Practice and Theory

摘　　要：根据前景理论的反射效应,在做市商调整机制下,对市场中的两类投资者(基本面分析者和趋势追随者)同时引入时变的风险厌恶系数,扩展了异质预期下风险厌恶固定不变的资产定价模型.通过蒙特卡洛模拟,对噪声项和根本确定性系统之间相互作用的分析得出,模型能产生真实的价格行为.最后的实证模拟,对比分析了本模型,原模型及上证指数的收益序列特性,发现本模型能更好的模拟中国股票市场的收益率特性.Based on the reflection effect of prospect theory, this paper introduces the time-varying risk aversion coefficient for two types of investors(fundamentalists and trend followers) in the market under the market-maker adjustment mechanism at the same time,and expands the asset pricing model with fixed risk aversion under heterogeneous expectation. Through the Monte Carlo simulation, the analysis of the interaction between the noise term and the fundamental deterministic system shows that the model in this paper can produce real price behavior. At last, the empirical simulations compare the characteristics of this model, the He and Li(2016) model, and the returns of the Shangzheng Index. We find that this model can better simulate the returns characteristics of the Chinese stock market.

关 键 词：风险厌恶 异质信念 噪声项 序列特性 

分 类 号：F832.51[经济管理—金融学]