基于动态损失厌恶投资组合模型的最优资产配置与实证研究

中国管理科学 ›› 2014, Vol. 22 ›› Issue (5): 16-23.

基于动态损失厌恶投资组合模型的最优资产配置与实证研究

金秀, 王佳, 高莹

东北大学工商管理学院, 辽宁沈阳 110819

收稿日期:2012-09-11 修回日期:2013-02-28 出版日期:2014-05-20 发布日期:2014-05-14
作者简介:金秀（1963-），女（汉族），辽宁辽阳人，东北大学工商管理学院，教授，博士生导师，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）

Optimal Asset Allocation Based on Dynamic Loss Aversion Portfolio Model and Empirical Research

JIN Xiu, WANG Jia, GAO Ying

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

Received:2012-09-11 Revised:2013-02-28 Online:2014-05-20 Published:2014-05-14

摘要/Abstract

摘要： 从行为金融学的角度考虑投资者损失厌恶的心理特征，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，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最优资产配置和绩效表现，并与静态损失厌恶投资组合模型、M-V投资组合模型和CVaR投资组合模型进行比较。最后，在具有交易成本的条件下对动态模型进行稳健性检验。得出结论：不同情况下，动态损失厌恶投资者具有不同的最优资产配置比例，且动态损失厌恶投资组合模型明显优于静态模型、M-V投资组合模型和CVaR投资组合模型。

关键词: 动态损失厌恶, 资产配置, 稳健性检验, 前景理论

Abstract: Considering the psychological characteristics of loss aversion from the perspective of behavioral finance, a dynamic loss aversion portfolio optimization model that maximizes the expected utility is constructed. Dividing China's stock market into three states including rise, decline and consolidation, we empirically study the optimal asset allocation and performance of the dynamic loss aversion portfolio model is empirically studied comparing it with static loss aversion portfolio model as well as mean-variance and CVaR portfolio models. It is found under different market conditions, dynamic loss aversion investors have different optimal asset allocation ratios. Meanwhile, dynamic loss aversion portfolio model clearly outperforms static model, mean-variance portfolio model and CVaR portfolio model. The conclusions above can provide investors with advice when making investment decisions.

Key words: dynamic loss aversion, asset allocation, robust test, prospect theory

中图分类号:

F830.91

金秀, 王佳, 高莹. 基于动态损失厌恶投资组合模型的最优资产配置与实证研究[J]. 中国管理科学, 2014, 22(5): 16-23.

JIN Xiu, WANG Jia, GAO Ying. Optimal Asset Allocation Based on Dynamic Loss Aversion Portfolio Model and Empirical Research[J]. Chinese Journal of Management Science, 2014, 22(5): 16-23.

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