基于参照点收益价值函数化的资产选择模型

Portfolios Based on Reference Point ReturnBeing Transformed into Value-function

诺贝尔经济学奖得主丹尼尔.卡尼曼及其合作者阿莫斯.特沃斯基的展望理论指出决策行为会受到价值函数形式的影响。本文首先介绍展望理论,给出若干具体的价值函数形式,在考虑投资者决策受价值函数影响的基础上建立基于对参照点收益价值函数转化的若干资产选择模型,从直觉上能够判断出这些模型更加符合投资决策心理和行为,而实证结果也表明这些资产选择模型能够有效地降低负离差风险。

Prospect Theory that was brought up by Nobel economics prize winner, D. Kahneman and his cooperator A. (Tversky,) considers that value-function curve could affect such behavior like decision-making. First we introduce the (Prospect) Theory, and give some kinds of value-function form. Based on that investor would be influenced from itself value-function curve, we construct some portfolio models. Our models are much more accord with invest decision-making (behavior) and psychology by intuition. Empirical comparison shows that these portfolio models could effectively reduce (negative-deviation risks.)