本文關(guān)鍵詞：考慮決策者心理行為的證券投資組合決策方法研究，由筆耕文化傳播整理發(fā)布。

考慮決策者心理行為的證券投資組合決策方法研究

Method for Portfolio Decision-Making Considering the Decision-Makers’ Psychological Behaviors

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CAO Bing-bing,FAN Zhi-ping,YU Shu-jing（School of Business Administration, Northeastern University, Shenyang 110819, China）

東北大學(xué)工商管理學(xué)院,遼寧沈陽(yáng)110819

文章摘要：在現(xiàn)實(shí)的證券投資組合決策中,決策者的心理行為是不可忽視的重要因素。本文針對(duì)考慮決策者心理行為的證券投資組合問(wèn)題,給出了一種基于累積前景理論和心理賬戶的決策分析方法。首先,依據(jù)累積前景理論,將決策者對(duì)不同市場(chǎng)狀態(tài)下的預(yù)期收益率作為參考點(diǎn),計(jì)算各備選證券收益率相對(duì)于參照點(diǎn)的收益和損失,并計(jì)算不同市場(chǎng)狀態(tài)下針對(duì)所有備選證券的綜合前景價(jià)值;然后,依據(jù)決策者的心理賬戶,即以證券投資組合的收益總體綜合前景價(jià)值最大為目標(biāo)、以投資期末總財(cái)富閾值以及滿足財(cái)富約束的概率不小于決策者設(shè)定的概率閾值為約束,構(gòu)建了具有概率約束條件的證券投資組合優(yōu)化模型,通過(guò)將概率約束轉(zhuǎn)化為線性約束并求解優(yōu)化模型,可得到最優(yōu)的證券投資組合方案。最后,通過(guò)一個(gè)算例對(duì)本文提出方法的可行性和有效性進(jìn)行了驗(yàn)證。研究結(jié)果表明,本文提出的方法能夠較好地解決考慮決策者心理行為的證券投資組合問(wèn)題。

Abstr：Decision makers’ psychological behaviors cannot be ignored in the real portfolio decision-making. In this paper,a decision analysis method based on cumulative prospect theory and mental account is proposed to solve the portfolio decision-making problem considering the decision-makers’ psychological behaviors. First,decision makers’ expected returns are regarded as the reference points,according to cumulative prospect theory,the gain and loss of each security’s return with respect to reference points are calculated and comprehensive prospect values of all candidate securities in different market states are calculated. Then,according to the decision-makers’ mental account,an optimization model for portfolio decision-making with probability constraint is constructed,whose objective is to maximize decision-makers’ overall comprehensive prospect value,and whose constraints contain wealth threshold constraint and the probability constraint. After translating the probability constraint into linear constraints,portfolio alternative is obtained by solving the linear optimization model. Finally,a numerical example is used to verify the feasibility and validity of the method proposed in this paper. The results show that the method proposed in this paper can solve the securities portfolio problem considering decisionmakers’ psychological behaviors.

文章關(guān)鍵詞：

Keyword：:management science and engineering behavioral portfolio cumulative prospect theory mental accounts psychological behaviors optimization model

課題項(xiàng)目：國(guó)家自然科學(xué)基金資助項(xiàng)目（71021061,71271051）;中央高�；究蒲袠I(yè)務(wù)經(jīng)費(fèi)資助項(xiàng)目（N110706001）

  本文關(guān)鍵詞：考慮決策者心理行為的證券投資組合決策方法研究，由筆耕文化傳播整理發(fā)布。