基于动态损失厌恶投资组合优化模型及实证研究

Portfolio Optimization Model Based on Dynamic Loss Aversion and Empirical Research

为了研究行为金融学中损失厌恶的心理特征对投资决策的影响,建立预期效用最大化的动态损失厌恶投资组合优化模型。以我国股票市场为依托进行实证研究,将市场分为上升、下降和盘整三种状态,研究动态损失厌恶投资组合模型的表现,与静态损失厌恶投资组合模型、均值-方差投资组合模型和CVaR投资组合模型进行比较。通过改变参照点对动态模型进行稳健性检验。得出动态损失厌恶投资组合模型优于静态模型、均值-方差投资组合模型和CVaR投资组合模型的结论。

In order to study the effect of loss aversion from behavioral finance on investment decisions, a dynamic loss aversion portfolio optimization model that maximizes the expected utility is constructed. Relying on the stock market divided into three states including rise, decline and consolidation, we empirically study the performance of the dynamic loss aversion portfolio model and compare it with the performance of static loss aversion portfolio model as well as mean-variance and CVaR portfolio models. At last, changing the reference point, we cheek on robustness of the dynamic loss aversion portfolio model. We find that the dynamic loss aversion portfolio model clearly outperforms the static model, mean-variance portfolio model and CVaR portfolio model.