基于CVaR风险测度的后悔最小化投资组合模型

Regret Minimization Portfolio Model Based on CVaR Risk Measure

近年来大量研究表明,投资者不再符合"理性经济人"假设,而是有限理性的。将后悔心理加入投资组合中,从收益和风险两个角度构建后悔最小化模型。考虑到在金融市场中投资者更关注的是下行风险,因此利用CVaR测度不同资产的下行风险,用局部自回归方法预测资产收益率。从股市、债券市场选取不同资产分析存在后悔心理的不同风险敏感投资者如何进行投资决策,以及后悔心理对投资者资产配置的影响,并将该模型与等权重投资组合模型进行对比分析。研究发现后悔心理会影响不同风险敏感投资者在无风险资产、股票、债券上的配置,并且该模型在样本外表现优于等权重投资组合模型。

In recent years,a large number of studies have shown that investors no longer meet the assumption of"rational economic man",but are bounded rationality.This article adds regret to the investment portfolio,and constructs a regret minimization model from the perspectives of return and risk.Considering that investors are more concerned about the downside risk in the financial market,this article uses CVaR to measure the downside risk of different assets,and uses the partial autoregressive method to predict the return on assets.Select different assets from the stock market and bond market to analyze how different risk-sensitive investors with regret psychology make investment decisions,and the influence of regret psychology on investors’asset allocation,and compare this model with the equal-weight portfolio model.The research in this paper finds that regret will affect the allocation of risk-free assets,stocks,and bonds of different risk-sensitive investors,and this model outperforms the equal-weight portfolio model out-of-sample.