一种新的异质投资者决策行为模型设计及其应用

A New Model Design and Application of Heterogeneous Investors Decision-making Behavior

研究目标:从异质投资者视角出发,设计一种新的异质投资者决策行为模型。研究方法:基于双重自我模型理论设计模型基本框架,并将现代资产组合理论、效用理论、动态博弈理论纳入模型,测试并确定不同市场场景和数据,验证新模型的理论逻辑。研究发现:异质投资者的决策行为机制并不相同,适用的模型理论也有所区别。无风险资产机构投资者决策模型中存在当期无风险资产收益率、资本市场波动率、风险资产组合收益率三个主要影响因素。在无风险个人投资者决策模型中,随着个人投资者自我控制成本的上升,其无风险资产投资的比例会降低,当期消费会增加。在风险资产机构投资者决策模型中,机构投资者进行决策时需要获取风险资产的当期价格波动趋势、实际价值和远期价格波动趋势三方面信息。风险资产个人投资者决策模型强调决策行为中无风险资产与风险资产的组合变动,影响风险资产个人投资者做出决策的关键因素是风险资产的预期收益率。研究创新:系统阐释我国投资者决策行为机制的逻辑体系和理论模型,新模型包含的四个子模型,适用于不同类型的异质投资者决策场景。研究价值:有益于理解投资者的非理性和异质性,有助于完善投资者决策行为机制的理论体系,对于提高投资者风险防范意识和风险承受能力具有实践意义。

Research Objectives:From the perspective of heterogeneous investors,design a new model of heterogeneous investor decision behavior.Research Methods:Based on the theory of dual self model,designing the basic framework of the model,taking modern portfolio theory,utility theory and dynamic game theory into the model,testing and identifying different market scenarios and data,verifying the theoretical logic of the new model.Research Findings:Heterogeneous investors have different decision-making behavior mechanisms,and appropriate model theories are also different.In the decision model of risk-free asset institutional investors,there are three main influencing factors:current risk-free asset return rate,capital market volatility and risk asset portfolio return rate.The risk-free individual investor decision model shows that as the cost of self-control of individual investors increases,the proportion of risk-free asset investment will decrease and the current consumption will increase.From the decision model of institutional investors in risk assets,it can be seen that institutional investors need to obtain the information of current price fluctuation trend,real value and forward price fluctuation trend of risk assets when making decisions.The decision model of individual investor of risk assets emphasizes the change of the combination of risk-free assets and risk assets in the decision-making behavior.The model shows that the expected rate of return of risk assets is the key factor influencing the decision of individual investors in risk assets.Research Innovations:To systematically explain the logical system and theoretical model of the decision-making behavior mechanism of investors in China.The new model contains four sub-models that are applicable to different types of heterogeneous investor decision scenarios.Research Value:Good for understanding the irrationality and heterogeneity of investors,help to perfect the theoretical system of investors decision-making behavior mechanism,and it is of practical significance to improve investors risk prevention awareness and risk tolerance.