投资者预期偏误对投资收益的影响——以风险中性投资者为例

Impact of Investors' Predicted Biases on Investment Income-A Case Study on Risk-neutral Invertors

由于市场信息的不完全及投资者认知上的不足,投资者对风险资产的预期收益与实际收益总会存在不同程度的偏离。投资者对风险资产收益的预期偏误往往会影响其在金融市场上的投资决策,并最终影响到投资者实际的投资组合收益。那么,投资者的预期偏误会对投资者实际的投资组合收益产生怎样的影响?本文以风险中性投资者为例,给出投资者预期偏误大小的度量方法,建立出投资者预期偏误与投资收益的回归模型,用模拟论证的方法对二者的关系进行分析。

Due to the incompleteness of market information and cognitive deficiency, the investors＇ expected return and real return of risk assets will always exist deviation in varying degrees. Predicted biases of investors on the future return of risk assets are expected to affect their investment decisions in the financial markets, and ultimately affect the portfolio returns. What impact will investors＇ predicted biases have on investment income？ In this paper, combined with risk- neutral investors, I will give a method to measure predicted biases of investors, establish a regression model of predicted biases to investment income, and analysis their relationship.