考虑附加情绪的两阶段投资组合前景决策模型

Two-stage portfolio prospect decision model considering additional emotion

针对前景模型在投资情绪偏好决策的不足,基于BW理论从偏好角度对投资者情绪的定义,建立附加情绪的投资决策模型.首先根据从众心理与收益追踪对投资者的影响,定义情绪转变的概率分布;然后构建附加二元非线性参数的价值函数,对可选投资项目进行偏好排序;最后根据偏好决策及风险差异将收益约束下的最大信息熵作为风险规避者的目标函数,将熵约束下的最大均值收益率作为风险偏好者的目标函数,分别进行迭代计算求得投资比例.仿真与算例分析结果表明:收益波动超过临界值后,持悲观态度的投资者占比更大;乐观投资者的初始占比一定程度上会改变个体偏好决策;风险偏好者愿意对高收益高风险的项目给予更大的投资权重;经济市场有序化有利于投资者作出投资决策.

Aiming at covering the weaknesses of prospect models in investment sentiment and preference decisionmaking,we propose the investment decision model with sentiment attribute based on the definition of investor sentiment in perspective of preference got from the BW(Baker and Wurgler)theory.We firstly define a probability distribution of emotional transition based on the influence of herd mentality and income tracking on investors.Then,we construct a value function of the additional binary nonlinear parameters to sort the preference of the optional investment items.Finally,the maximum information entropy under the income constraint is formalized as the objective function of the risk aversion and the maximum mean rate of return under the entropy constraint is formalized as the objective function of the risk appetite respectively according to the preference decision and the heterogeneous risk,acquiring the investment ratio through iteratively calculate.The simulation results show that the two-stage decision model can better fit the local optimal decision-making scheme chosen by irrational investors.The result of simulation and illustrative example show that:The proportion of pessimistic investors will increase when returns fluctuate beyond the critical value;The initial proportion of optimistic investors will change individual preference decisions to some extent;The risk seekers prefer to assign greater investment weight on high-risk projects;The well-organized economic market is helpful for investors to make investment decisions.