基于行为金融的证券组合风险管理研究

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Chinese Journal of Management Science ›› 2005, Vol. ›› Issue (3): 32-36.

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Study on Portfolio Risk Management Based on Behavioral Finance

JIANG Ji-jiao, YANG Nai-ding

Management School, Northwestern Polytechnical University, Xi’an 710072, China

Received:2004-07-12 Revised:2005-03-12 Online:2005-06-28 Published:2012-03-07

Abstract

Abstract: Considering mental factors,behavioral finance is introduced into decision-making system of risk management executors. Bounded rational mental structures of managers are pointed out.It’s formed the risk measurement model based on BSV(Barberis-Shleifer-Vishny) ideology,by which the traditional behavioral portfolio theory is adjusted.Simulation results show it’s approaching the practical situation.

Key words: behavioral finance, portfolio, risk management, bounded rational, mental account

CLC Number:

F830.9

JIANG Ji-jiao, YANG Nai-ding. Study on Portfolio Risk Management Based on Behavioral Finance[J]. Chinese Journal of Management Science, 2005, (3): 32-36.

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Study on Portfolio Risk Management Based on Behavioral Finance

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