风险分散不足与投资者情绪——基于情绪认知的行为投资组合研究

Lack of Diversification and Investor Sentiment——The Behavioral Assets Portfolio Based on Sentiment Recognition

根据情绪认知收益和情绪认知风险的度量方法,建立了用于资产选择的情绪认知占优准则,从而构建了基于情绪认知的最优行为投资组合模型以确定各资产的最优投资份额,最终得到了基于情绪的投资组合分析范式。研究结果表明:投资者情绪在投资组合构建中起关键作用,投资者在情绪认知占优准则下将只投资于少量的非情绪认知占劣资产,从而有效解释了风险分散不足异象。

According to the for sentiment perceived return and the sentiment perceived risk, this paper proposes the dominant criteria of sentiment recognition which used to selects the candidate assets. Furthermore, it constructs an optimal behavioral portfolio model based on sentiment recognition to determine the optimal investment weights of the candidate assets, and gets the assets portfolio analysis paradigm at last. The results show that sentiment plays a key role in the investment analysis process. Investors may only invest in the non-inferior assets by the dominant criteria of sentiment recognition, which effectively explains the phenomenon of lack of diversification.