基于感知收益-风险比分析的结构性产品投资决策

The Structured Products Investment Decision Under the Perceived Risk-Return Ratio

引入收益风险比-sharpe-omega比率,结合累积前景理论,将累积前景理论中带有心理偏差的主观预期收益作为临界收益点,构建出带有主观行为因素的感知收益风险比,用来衡量存在心理偏差的投资者面对某项投资产品时的预期投资成效,并将其运用在结构性产品投资中,通过数值分析表明:面对同一投资产品时,对价值敏感程度越弱,概率扭曲程度越接近于阈值的投资者,其感知收益风险比越大,投资该产品的预期投资成效越好,即该产品更适合该类型的投资者进行投资.同时还将文章所构建的感知收益风险比与现有的收益风险比的衡量指标进行了对比分析,发现不同心理偏差的投资者采用这两种指标作为投资决策依据时的表现具有较大差别.

This paper introduces a sharpe-omega return-risk ratio for investments in structured products. Building on cumulative prospect theory, we consider psychological bias and use the subjective expected return as a critical point of return. We construct a perceived return-risk ratio with subjective behavioral factors from the investor perspective to measure the investment effect of investors with psychological bias and regard it as the benchmark for issuers to recommend structured products to investors. And the numerical simulations show that: The weaker of investor's sensitivity to value, the closer of probability misestimation to threshold level, and larger of sharpe-omega ratio, which means the this type of products is more suitable to the investors. At the same time, the perceived return-risk ratio constructed in this paper is compared with the existing measurement indicators of return-risk ratio. It is found that investors with different psychological biases use these two indicators as the basis of investment decision-making performance is quite different.