Loss Aversion Portfolio Optimal Model with Dynamic Reference Point

doi:10.12005/orms.2015.0195

Operations Research and Management Science ›› 2015, Vol. 24 ›› Issue (6): 51-57.DOI: 10.12005/orms.2015.0195

• Theory Analysis and Methodology Study • Previous Articles Next Articles

Loss Aversion Portfolio Optimal Model with Dynamic Reference Point

WANG Jia¹, JIN Xiu¹, YUAN Ying¹, WANG Xu²

1.College of Business Administration, Northeastern University, Shenyang 110819, China;
2.College of Information Science & Engineering, Northeastern University, Shenyang 110819, China

Received:2014-04-17 Online:2015-12-25

基于动态参照点的损失厌恶投资组合优化模型

王佳¹, 金秀¹, 苑莹¹, 王旭²

1.东北大学工商管理学院,辽宁沈阳 110819;
2.东北大学信息科学与工程学院,辽宁沈阳 110819

作者简介:王佳(1986-),女,河北唐山人,博士,讲师,研究方向:金融工程、行为金融;金秀(1963-),女,辽宁辽阳人,教授,博士生导师,研究方向:金融工程、行为金融。
基金资助:
国家自然科学基金资助项目(71271047,70901017)

Abstract

Abstract: Under continuous time, considering dynamic updating character of reference point of loss aversion investors, we construct loss aversion portfolio model with dynamic reference point. Then, using martingale method, we derive the analytical expression of optimal risky asset weight, based on which we obtain the expected optimal terminal wealth of loss aversion investors whose reference point is dynamically adjusted. Furthermore, using numerical cases, we analyze the effects of dynamic adjustment amplitude of reference point and loss aversion degree of investors on model from the aspects of optimal risky asset weight and expected optimal terminal wealth.

Key words: dynamic reference point, loss aversion, portfolio, continuous time

摘要： 在连续时间下,考虑损失厌恶投资者参照点的动态调整特征,构建基于动态参照点的损失厌恶投资组合模型,使用鞅方法对模型进行求解,得到最优风险资产权重的解析表达式。并计算损失厌恶投资者在参照点动态调整条件下的预期最优期末财富。进一步应用数值算例,分析投资者的参照点动态调整幅度和损失厌恶水平对模型最优风险资产权重和预期最优期末财富的影响。

关键词: 动态参照点, 损失厌恶, 投资组合, 连续时间

CLC Number:

F830

WANG Jia, JIN Xiu, YUAN Ying, WANG Xu. Loss Aversion Portfolio Optimal Model with Dynamic Reference Point[J]. Operations Research and Management Science, 2015, 24(6): 51-57.

王佳, 金秀, 苑莹, 王旭. 基于动态参照点的损失厌恶投资组合优化模型[J]. 运筹与管理, 2015, 24(6): 51-57.

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Loss Aversion Portfolio Optimal Model with Dynamic Reference Point

基于动态参照点的损失厌恶投资组合优化模型

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