基于心理账户的最优项目投资组合决策

The Optimal Portfolio Selection Based on Mental Accounts

最优项目投资组合决策是企业项目投资组合管理的重要内容,而项目决策者的个体行为直接影响着最优项目投资组合决策的结果。随着行为金融理论的快速发展,项目决策者的个体行为因素逐渐受到重视。因此,本文将行为金融引入到项目决策过程,将心理账户理论与马科维兹的组合投资思想相结合,同时考虑风险厌恶系数的动态特性,建立一个更加符合实际的最优项目投资组合决策的新模型。最后,通过数值模拟证明该模型选出的最优投资项目投资组合不同于传统的均值-方差(M-V)模型,且其选出的最优投资项目投资组合风险收益比优于传统的均值-方差模型。

The optimal portfolio selection is an important content of enterprise project portfolio management and individual behavior of the project decision makers directly influences the result of the optimal investment portfolio decision. The rapid development of behavioral finance theory makes individual behavior factors of project investment decision makers gradually to be taken seriously. Therefore,this article will introduce a behavioral finance project of decision-making process,combining the mental account theory and the portfolio ideas of Markowitz,at the same time,considering the dynamic characteristic of the coefficient of risk aversion,to establish a more practical optimal portfolio selection model. Finally,the numerical simulation proves that the model of select the optimal portfolio is different from the traditional（ M-V） model,and the chosen portfolio reward / risk ratio is superior to the traditional mean-variance model.