基于混合指数型损失厌恶函数的投资组合模型

The Portfolio Model Based on Mixed Exponential Loss Aversion Function

结合前景理论的核心思想,该文从期望效用最大化的角度研究不同风险资产的配置问题.在线性损失厌恶函数的基础上,该文结合指数效用函数的性质,提出了一个新的效用函数——混合指数型损失厌恶函数,建立了混合指数型损失厌恶投资组合(MELA)模型,并对中国股票市场数据进行实证研究,得出MELA模型优于均值-方差模型的结论.

Combined with the core idea of prospect theory-loss aversion,the allocation of different risk assets from the perspective of expected utility maximization is studied in this paper.On the basis of the linear loss aversion function,and combined with the nature of the exponential utility function,the new utility function that is mixing loss aversion with exponential function is put forward,the mixed exponential loss aversion(MELA)portfolio model has been established.The empirical study on Chinese stock market data shows that the MELA model is superior to the Mran-Variance model.