预期情绪影响投资组合的理论研究

A Theoretical Study on the Impact of Expected Emotion on Portfolio

本文以改进的后悔理论作为基础,提出了"情绪动机影响投资决策"的理论假说。该假说纠正了前景理论在基础假设中的谬误,使行为金融学对于情绪的研究得以在风险和收益的局部均衡框架下展开。在上述假设下,本文把预期情绪引导的投资偏差设定为避免后悔和追求欣喜两种投资动机所导致的结果。在一致性情绪动机的条件下,投资者投资组合的外边界发生了系统性的偏移,这导致投资者的投资行为也发生了变化。本文还在理论上证明了,在异质性情绪动机的条件下,投资者的投资边界产生了扭曲,投资者表现出了明显的处置效应。

Based on the improved Regret Theory, this paper suggests a hypothesis that Emotional Motivation affects investment decision-making. This hypothesis corrects the fallacy of Prospect Theory in the basic hypothesis, and enables behavioral finance to study emotion in the framework of local equilibrium of return and risk. Under the above basic assumptions, this paper sets the investment bias guided by expectation emotion as the result of avoiding regret and pursuing joy. Under the condition of consistent emotional motivation, the external boundary of investor’s portfolio has been systematically shifted, which leads to the change of investor’s investment behavior. In theory, this paper also proves that under the condition of heterogeneous emotional motivation, investors’ investment boundaries are distorted, and investors show obvious Disposition Effect.