考虑投资者过程效用影响的投资组合模型  

Portfolio Model Considering Investors’ Process Experience Utility

作　　者：盛积良 吴志明 刘元秀 SHENG Jiliang;WU Zhiming;LIU Yuanxiu(School of Statistics and Data Science,Jiangxi University of Finance and Economics,Nanchang 330013,China;School of Business,Jiangxi University of Science and Technology,Nanchang 330013,China)

机构地区：[1]江西财经大学统计与数据科学学院,江西南昌330013 [2]江西理工大学商学院,江西南昌330013

出　　处：《运筹与管理》2024年第3期191-197,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71973056);国家自然科学基金重点项目(71531003);教育部人文社科青年基金项目(17YJC790100)。

摘　　要：传统的投资组合模型只考虑投资结果,而未考虑投资过程带来的效用影响。事实上组合投资期间投资者持有的股票价格的每一次波动都牵动着投资者的神经,带来或正或负的效用,影响投资者的投资决策。分析投资者过程效用的影响因素,设计出风险投资者的投资过程效用函数。并假设投资者的总效用函数为过程效用函数和结果效用函数的线性组合,构建考虑投资行为过程效用的投资组合模型,对模型的解进行数值模拟分析。研究结果表明:对损失过于敏感的投资者受过程影响越大,则投资风险资产的资金比例越低,对损失不敏感的投资者受过程影响越大,投资风险资产的资金比例越高。因此,对损失越不敏感且受过程效用影响越严重的投资者,越容易推高市场风险。对模型的投资绩效进行了实证检验,结果发现:受投资者过程效用影响大的投资组合模型在股市持续上涨阶段的投资表现较好,而在股市盘整阶段和持续下跌阶段表现较差。表明受过程效用影响大的投资者会在股市持续上涨时积极入市,在股市持续下跌时迅速退市,从而加剧股市震荡。The price fluctuation of risky assets brings not only the risk of investment loss,but also the opportunity of gain.Therefore,during the period of portfolio investment,every fluctuation of stock prices held by investors affects the nerves of investors,brings positive or negative utility,and impacts investors’investment decisions.In fact,investors always look for profit opportunities from the price fluctuations of risk assets.So the price fluctuations of risk assets themselves can bring utility to investors,which is the process utility of investment.However,traditional portfolio models ignore this and only consider the utility of investment results.Investors can work to reduce investment uncertainty.Therefore,the process effectiveness of venture investors should be analyzed from two aspects.On the one hand,if investors grasp the ups and downs of risk assets through their own efforts,then the price fluctuation of risk assets is an opportunity for investors.Investors can timely enter and exit in the price fluctuation of risk assets,so as to make profits.Then the utility of investors is positive.The greater the volatility of asset prices there is,the greater the opportunity there is for investors to make profits,and the greater the process utility there is of their joy.On the other hand,if investors make mistakes in judgment,they will lose investment opportunities,or even suffer losses due to wrong investment.Asset price fluctuations are traps for investors,and the utility of investors is negative.The greater the price fluctuation there is,the deeper the trap there is,and the greater the dispiriting process of investors there is.The utility of the investor’s investment process is related to the volatility of the return rate of risk assets and the forecasting ability of the investor.If the investor correctly predicts the rise and fall of the price of risk assets,he will get the corresponding positive utility.Otherwise,if the investor makes a mistake in forecasting and fails to stop the loss in time,he will face the

关 键 词：过程效用 损失厌恶 行为金融 投资组合 

分 类 号：F830[经济管理—金融学]