摘要
应用行为经济学展望理论的价值函数思想,提出“价值离差”概念和引入“收益均衡因子”概念,建立了在给定的期望收益条件下,组合绝对价值离差最小化模型和最大化组合价值离差模型,实证结果表明模型具有定性和定量上的有效优势。
Applying the thought of value function of prospect theory in behavior economics, we put forward the conception of value deviation and introduce the return tradeoff factor, setup the minimizing combined absolute value deviation model and the maximizing value deviation model under the expected return. In the empirical study, we show that our model have some advantages in qualitative and quantitative way than the mean-absolute deviation model.
出处
《管理工程学报》
CSSCI
2005年第4期83-86,共4页
Journal of Industrial Engineering and Engineering Management
关键词
资产选择
价值离差
收益均衡因子
portfolio selection
value deviation
return tradeoff factor
