摘要
从人的有限理性角度研究了机构投资者的投资组合决策问题．基于Multi-Agent构建了多心理账户情景下,机构投资者的两级行为投资组合模型；并且,利用两状态Markov链和管理熵函数描述了该模型中的关键参数；仿真算法释例验证了该模型能够逼近实际决策情景．
Prom views of people bounded rational, it＇s studied portfolio decision-making issues of institutional investors. Under multiple mental accounts, it＇s formed the bi-level behavioral portfolio model of institutional investors with Multi-Agent. Crucial parameters of this model are described with a two-state Markov chain and a management entropy function. Simulation algorithm case images approximately actual scenes.
出处
《运筹学学报》
CSCD
北大核心
2006年第3期114-120,共7页
Operations Research Transactions
基金
国家自然科学基金项目(70571064)
西北工业大学博士论文创新基金项目(CX200425)
