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

Abstract

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

CLC Number:

F830.91

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

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