目标约束下的投资选择

The Investment Strategy under Payoff Constraints

根据 Markowitz投资组合理论和传统的期望效用理论 ,在效用函数相同的情况下 ,所有的理性投资者都将采用相同的最优投资策略 .但在现实中 ,不同的投资者往往采用不同的投资策略 ,依据传统理论只能认为他们并不都是理性投资者 .本文引入了目标约束后 ,说明了由于不同的投资者具有不同的目标约束 ,所以用传统的期望效用理论无法解释的看似非理性的行为其实却是理性的最优选择 .

According to the theories of Markowitz′s investment portfolio and traditional expected utility,all rational investors with the same utility function will adopt the same optimal investment strategy. But in real world,different investors take different investment strategies, who can be regarded as irrational investors based on the conventional theories. By introducing constraint of targeted payoff for each individual investor,such ″irrational″ choice becomes rational.