t-分布下含有背景风险的情绪优化投资组合

Emotional Optimization Portfolio with Background Risk under t-Distribution

投资者在做证券投资决策时都会面临背景风险,这种风险在短时间内不能进行对冲。另外,投资者在投资时还会因自身情绪变化从而对未来预期产生系统性偏差。但大多数投资组合模型并没有考虑这两个因素,所以不能准确度量收益与风险。本文是在传统的均值-CVaR模型下,还考虑了背景风险和投资者情绪,在情绪函数作用下重新去度量投资组合的收益与风险,并且在收益率序列服从t-分布的假设下简化了CVaR使求解更简单,最后通过PHR乘子法得到投资组合的最优解析解。

Investors face background risks when making securities investment decisions, which cannot be hedged in a short period of time. In addition, when investors invest, they will have systematic de-viation to the future expectation due to their own mood changes. But most portfolio models do not take these two factors into account, so they cannot accurately measure return and risk. This article is under the traditional average-CVaR model, considered the background risk and investor sentiment, under the effect of emotional function again to measure the returns and risk of portfolio, and based on the distribution of the yield sequence to obey t-to simplify the solution CVaR made under the assumption of more simple, the final portfolio is obtained by PHR multiplier method, the optimal analytical solution.