基于代表性偏差的行为投资组合模型及实证

Optimal portfolio choice model and empirical analysis based on representation bias

代表性偏差这一心理特征分为横向代表性偏差和纵向代表性偏差,将其分别引入投资组合模型,研究了它们对投资者投资组合决策的影响.提出了代表性收益概念,从期望效用最大化的原则出发,把投资者的效用表示为期末收益和超额代表性收益的函数,建立了基于纵向代表性偏差的最优投资组合模型(横向类似),实证分析表明这一模型能够得到投资组合的有效前沿.

As a mental characteristic, vertical representation bias is introduced to portfolio choice model, to research its influence to investors＇ portfolio decision. This paper proposes Representation Return concept, and gives an investors＇ utility function of two variables -- final return and Excess Representation Return, from the principle of expected utility maximization. Then establishes optimal portfolio model based on vertical representation bias, and give an empirical analysis showing that the model can obtain efficient frontier of investment portfolio.