摘要
过度自信对投资策略及资产均衡价格将产生重要影响,通过构建过度自信条件下授权投资组合管理模型,分析了过度自信对机构投资者授权投资行为的影响。研究表明,投资组合均衡主要依赖于过度自信水平,当代理人理性或者适度过度自信时,可观察到投资交易数量是过度自信水平的减函数,若过度自信水平足够强且努力成本很小时最优投资组合交易数量则是过度自信的增函数。
There is major impact of overconfidence on investment strategy and asset equilibrium price.The paper analyzes the effect of overconfidence on the authorization investment behavior of institutional investor based on constructed investment portfolio model.The result shows investment portfolio equilibrium mainly depends on the level of overconfidence.The observed the number of investment transactions is a decreasing function of the level of overconfidence when agent is rational or moderately overconfident.Optimal portfolio trading volume is an increasing function of overconfidence if the level of overconfidence is strong enough,and the effort cost is very small.
出处
《经济问题》
CSSCI
北大核心
2011年第8期46-49,共4页
On Economic Problems
关键词
过度自信
投资组合
委托代理
overconfidence
investment portfolio
principal-agent
