基于动态损失厌恶投资组合优化模型及实证研究

运筹与管理 ›› 2014, Vol. 23 ›› Issue (1): 188-195.

基于动态损失厌恶投资组合优化模型及实证研究

金秀, 王佳

东北大学工商管理学院,辽宁沈阳 110819

收稿日期:2012-03-06 出版日期:2014-01-25
作者简介:金秀(1963-),女,辽宁辽阳人,教授,博士生导师,研究方向:金融工程;王佳(1986-),女,河北唐山人,博士研究生,研究方向:金融工程。
基金资助:
国家自然科学基金资助项目(70771023)

Portfolio Optimization Model Based on Dynamic Loss Aversion and Empirical Research

JIN Xiu, WANG Jia

College of Business Administration, Northeastern University, Shenyang 110819, China

Received:2012-03-06 Online:2014-01-25

摘要/Abstract

摘要： 为了研究行为金融学中损失厌恶的心理特征对投资决策的影响,建立预期效用最大化的动态损失厌恶投资组合优化模型。以我国股票市场为依托进行实证研究,将市场分为上升、下降和盘整三种状态,研究动态损失厌恶投资组合模型的表现,与静态损失厌恶投资组合模型、均值-方差投资组合模型和CVaR投资组合模型进行比较。通过改变参照点对动态模型进行稳健性检验。得出动态损失厌恶投资组合模型优于静态模型、均值-方差投资组合模型和CVaR投资组合模型的结论。

关键词: 行为金融, 动态损失厌恶, 投资组合, 前景理论, 稳健性检验

Abstract: In order to study the effect of loss aversion from behavioral finance on investment decisions, a dynamic loss aversion portfolio optimization model that maximizes the expected utility is constructed. Relying on the stock market divided into three states including rise, decline and consolidation, we empirically study the performance of the dynamic loss aversion portfolio model and compare it with the performance of static loss aversion portfolio model as well as mean-variance and CVaR portfolio models. At last, changing the reference point, we check on robustness of the dynamic loss aversion portfolio model. We find that the dynamic loss aversion portfolio model clearly outperforms the static model, mean-variance portfolio model and CVaR portfolio model.

Key words: behavioral finance, dynamic loss aversion, portfolio, prospect theory, robustness test

中图分类号:

F830.91

金秀, 王佳. 基于动态损失厌恶投资组合优化模型及实证研究[J]. 运筹与管理, 2014, 23(1): 188-195.

JIN Xiu, WANG Jia. Portfolio Optimization Model Based on Dynamic Loss Aversion and Empirical Research[J]. Operations Research and Management Science, 2014, 23(1): 188-195.

参考文献

[1] Kahneman D, Tversky A. Prospect theory: an analysis of decision under risk[J]. Econometrica, 1979, 47(2): 263-291.
[2] Benartzi S, Thaler R H. Myopic loss aversion and equity premium puzzle[J]. Quarterly Journal of Economics, 1995, 62(2): 73-92.
[3] Barberis N, Huang M. Mental accounting, loss aversion, and individual stock returns[J]. Journal of Finance, 2001, 56(4): 1247-1292.
[4] Liberman N, Idson L C, Higgins E T. Predicting the intensity of losses vs. non-gains and non-losses vs. gains in judging fairness and value: a test of the loss aversion explanation[J]. Journal of Experimental Social Psychology, 2005, 41(5): 527-534.
[5] Gomes F J. Portfolio choice and trading volume with loss-averse investors[J]. Journal of Business, 2005, 78(2): 675-706.
[6] Bernard C, Ghossoub M. Static portfolio choice under cumulative prospect theory[J]. Mathematics and Financial Economics, 2010, 2(4): 277-306.
[7] He X D, Zhou X Y. Portfolio choice under cumulative prospect theory: an analytical treatment[J]. Management Science, 2011, 57(2): 315-331.
[8] 刘郁礼.短视性损失厌恶和股权风险溢价[J].中国软科学,2003,18(7):48-54.
[9] 周嘉南,黄登仕.损失厌恶能否解释好消息提前,坏消息延后[J].管理科学学报,2009,12(6):125-138.
[10] 丁宏,王灏.基于损失厌恶的股权溢价研究[J].宁夏大学学报,2010,32(3):144-148.
[11] 徐绪松,马莉莉,陈彦斌.考虑损失规避的期望效用投资组合模型[J].中国管理科学,2007,15(5):42-47.
[12] 胡支军,叶丹.基于损失厌恶的非线性投资组合问题[J].中国管理科学,2010,18(4):28-33.
[13] Fortin I, Hlouskova J. Optimal asset allocation under linear loss aversion[J]. Journal of Banking and Finance, 2011, 35(11): 2974-2990.
[14] Markowitz H. Portfolio selection[J]. The Journal of Finance, 1952, 7(1): 77-91.
[15] Anderson F, Mausser H, Rosen D. Credit risk optimization with conditional value-at-risk criterion[J]. Mathematical Programming, 2000, 89(2): 273-291.
[16] Kahneman D, Tversky A. Advances in prospect theory: cumulative representation of uncertainty[J]. Journal of Risk and Uncertainty, 1992, 5(4): 297-323.