心理账户交互作用下证券投资组合风险度量模型研究

The Risk Measurement Model of Securities' Portfolio under the Interaction of Mental Accounts

考虑证券投资组合决策中心理账户因素,基于Copula函数和信息熵原理,构建了心理账户交互作用下证券投资组合Copula-IE风险度量模型,改进了传统行为证券组合风险度量模型,提出了新的行为证券组合风险度量优化模型。通过对该模型分析可知:投资者的投资预期水平越高,所造成的行为决策风险越高;投资者心理账户之间的替代性越强或越弱,均使得投资组合的风险增强。

Based on the Copula function and information entropy principles, Copula-IE risk measure model of securities portfolio under the interaction of mental accounts is constructed in this paper, where the factor of mental accounting is taken into consideration. This model improves the traditional risk measurement model of the behavior portfolio, and provides a new risk measurement model of the behavior portfolio. Through the analysis of the model analysis, we come to the conclusion that： the higher the level of investor expectations, the higher the risk of the decision-making behavior; the stronger or weaker alternative among investor mental accountings makes the risk of the portfolio increased.