基于确定性偏好的投资组合选择  

Portfolio Selection Based on Certain Preference

作　　者：李腊生[1] 张冕[1] 黄孝祥 LI La-sheng;ZHANG Mian;HUANG Xiao-xiang(China Center for Economics Statistic Research,Tianjin University of Finance and Economics,Tianjin 300222,China;School of Information and Mathematics,Yangtze University,Jingzhou 434023,China)

机构地区：[1]天津财经大学中国经济统计研究中心,天津300222 [2]长江大学信息与数学学院,湖北荆州434023

出　　处：《商业经济与管理》2019年第7期63-74,共12页Journal of Business Economics

基　　金：国家社会科学基金项目“基于我国居民家庭资产选择偏好的资产价格体系及其统计监测研究”(15BTJ002)

摘　　要：文章在对马科维茨证券投资组合模型简要评述的基础上,针对投资者可选标的证券信息集非对称的现实,依据确定性偏好原理,将投资者对可选标的证券信息的确定性程度转换成偏好次序关系,同时结合行为金融学中的前景理论,依确定性偏好次序规则来确定权重函数,并在价值函数风险的框架下探讨了证券投资组合模型的构建及其最优解,从而在行为金融理论下扩展了马氏证券投资组合模型。实证分析表明,我国证券市场投资者基本是采用线性赋权方式来处理非对称信息集下的投资组合选择的。On the basis of a brief review of Markowitz portfolio investment model,regarding the actual situation that the investors optional portfolio of securities information is asymmetric,according to the certainty preference principle,this paper transforms the degree of the certainty of investors on the information of optional securities into the preference order relation.At the same time,by combining the prospect theory of behavioral finance,the weight function is constructed according to deterministic preference order rules,and the optimal solution of the portfolio in the value function risk framework is explored.Thus,the Markowitz portfolio investment model is extended under the behavioral finance theory.The empirical analysis demonstrates that the investors in our securities market deal with the portfolio selection under the asymmetric information mainly through linear empowerment method.

关 键 词：信息集非对称 偏好次序 价值函数 证券投资组合模型 

分 类 号：F830.59[经济管理—金融学]