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基于Multi-Agent的机构投资者行为投资组合模型 被引量:1

Behavioral Portfolio Model of Institutional Investors Based on Multi-Agent
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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)
关键词 运筹学 行为金融 机构投资者 MULTI-AGENT 行为投资组合理论 Operations research, behavioral finance, institutional investors, Multi- Agent, behavioral portfolio theory
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参考文献12

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