本文關(guān)鍵詞：考慮投資者主觀因素的模糊隨機投資組合選擇模型　出處：《華南理工大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資組合 模糊隨機變量 心理偏差 樂悲觀度 風(fēng)險偏好 情緒

【摘要】：當(dāng)今投資組合理論形成了兩大分支:一支是以馬克維茨的投資組合選擇模型為基石的資產(chǎn)配置方法,依據(jù)概率論用純數(shù)量化方法度量各資產(chǎn)的收益和風(fēng)險。然而,馬氏模型的假設(shè)條件極其苛刻,其中最為核心且遭受非議最多的是有效市場和理性人假設(shè)。隨著證券市場的不斷發(fā)展,許多實證研究表明,投資者往往是有限理性的,證券市場也不總是有效的,人的心理和行為等因素對投資決策的作用不容忽視。這引發(fā)了科研工作者對行為的關(guān)注,產(chǎn)生了行為金融學(xué),相應(yīng)地發(fā)展起投資組合理論的另一個重要分支——行為投資組合理論。行為投資組合主要通過分析金融市場主體在市場行為中的偏差和信念來尋求不同市場主體在不同環(huán)境下的經(jīng)驗理論及決策行為特征,力求建立一種能正確反映市場主體實際決策行為和市場運行狀況的描述性模型。如何運用經(jīng)典投資組合理論的量化思想,將行為投資組合中市場的非有效性和投資者的有限理性進行量化,并將市場上實際存在的模糊不確定性和隨機不確定性,以及投資者的心理和行為偏差反映到經(jīng)典的投資組合選擇模型中,是解決問題的關(guān)鍵,也是客觀、準確、有效地構(gòu)建投資組合選擇策略的重要基礎(chǔ)工作。本學(xué)位論文綜合考慮了投資者的理性和非理性及不完全理性、市場的有效性和非有效性及不完全有效性,利用模糊隨機理論建立投資組合選擇的一系列模型,模型均假設(shè)收益率為模糊隨機變量,且通過將模糊隨機不確定問題合理轉(zhuǎn)化為清晰系數(shù)的規(guī)劃問題,最大限度地降低了決策信息的損失。因此,提出的模型能夠幫助投資者在模糊和隨機雙重不確定環(huán)境下做出多元化的投資組合選擇決策。在考慮投資者的個人偏好和心理偏差(包括投資者的樂悲觀度、理性水平、情緒水平和風(fēng)險偏好)等主觀因素影響的基礎(chǔ)上,我們進一步研究了帶有各種約束條件的投資組合選擇模型。如考慮最小交易手數(shù)、最小投資量限制、是否允許借貸無風(fēng)險資產(chǎn)、是否允許買空、賣空及總投資資金金額限制等客觀約束條件。最后將模型應(yīng)用于現(xiàn)實的金融市場,檢驗其有效性和穩(wěn)定性。本文主要創(chuàng)新點包括如下幾個方面:(1)提出了模糊隨機變量的清晰數(shù)字特征的概念;基于清晰數(shù)字特征建立了模糊隨機投資組合均值-方差模型。結(jié)合模糊可能性理論和概率隨機理論中數(shù)字特征的優(yōu)勢,定義了相應(yīng)的模糊隨機變量的數(shù)字特征,包括模糊隨機可能性均值、模糊隨機可能性方差和模糊隨機可能性協(xié)方差等。解決了模糊隨機不確定變量的期望值模糊不清給決策帶來的困難;彌補了已有的模糊隨機變量的方差和協(xié)方差不能清晰反映出模糊和隨機兩種不確定性下的離散度和相關(guān)性的不足。基于模糊隨機變量的清晰數(shù)字特征,假設(shè)收益率為模糊隨機變量,建立了風(fēng)險資產(chǎn)的投資組合選擇均值-方差模型,并通過一個投資實例說明了模型的有效性及較markowitz均值-方差模型的優(yōu)越性。(2)提出了與模糊隨機變量的λ期望相匹配的λ方差和λ協(xié)方差的概念;基于λ期望和λ方差建立了收益偏好和風(fēng)險偏好相匹配的模糊隨機投資組合λ均值-λ方差模型。現(xiàn)有的投資組合模型多是單獨考察投資者對收益率的偏好或者單獨考察投資者對風(fēng)險的偏好�？陀^上,收益和風(fēng)險是相互匹配的,即高收益高風(fēng)險,低收益低風(fēng)險。因此有必要在模型中考慮收益和風(fēng)險相匹配的情況,以便投資者根據(jù)模型提供的結(jié)果做出客觀理性的投資決策�；讦藱�(quán)重均值的概念,為模糊隨機變量定義了一種λ權(quán)重方差和λ權(quán)重協(xié)方差,進而獲得了與λ權(quán)重均值相匹配的方差風(fēng)險函數(shù)�；讦司岛挺朔讲罱⒘耸找骘L(fēng)險相匹配的模糊隨機投資組合模型。進一步考慮到投資者通常為了獲得更高的風(fēng)險回報,會通過借入無風(fēng)險資產(chǎn)投資于風(fēng)險資產(chǎn)組合,模型還討論了允許借入無風(fēng)險資產(chǎn)的情況。(3)量化了證券市場非有效造成的收益率的模糊不確定性和隨機不確定性,量化了有限理性的投資者的樂悲觀度和心理偏差給收益率帶來的影響,從市場非有效和投資者有限理性的角度對模糊隨機資產(chǎn)收益率做出了詳細的金融解釋。提出了模糊隨機變量的(λ,γ)期望的概念;基于(λ,γ)期望建立了帶有投資者樂悲觀度、心理偏差和一系列現(xiàn)實約束的模糊隨機投資組合選擇模型�？紤]到大多數(shù)投資者都是不完全理性的,在復(fù)雜的市場環(huán)境下,不同投資者具有各自不同的心理偏差,從資產(chǎn)的模糊隨機收益中提取出投資者的主觀因素信息,包括樂悲觀度λ和可能性水平γ。詳細分析了投資者的這些心理偏差對投資組合有效前沿的影響,發(fā)現(xiàn)具有不同心理偏差的投資者會選擇不同的投資組合有效前沿。實證分析表明樂悲觀度參數(shù)λ和可能性水平參數(shù)γ能夠正確反映投資者的心理偏差,以及對決策結(jié)果產(chǎn)生的影響。在允許貸出無風(fēng)險資產(chǎn)的情況下,將一系列現(xiàn)實約束條件加入到模糊隨機模型中,做了進一步的分析和研究。結(jié)果表明,提出的模型由于綜合了模糊和隨機雙重不確定性因素的影響,能夠充分考慮到證券市場客觀的現(xiàn)實約束和投資者主觀的心理偏差,使得模型在市場不完全有效,投資者有限理性的情況下,比已有的概率論模型和模糊模型更加實用有效。(4)提出了模糊隨機變量的(λ,γ,s)期望的概念;基于(λ,γ,s)期望,建立了帶有投資者樂悲觀度、風(fēng)險偏好和心理偏差的模糊隨機投資組合(λ,γ,s)均值-標準差模型�；诟怕收摵妥顑�(yōu)化理論的投資組合選擇問題的研究大多遵循預(yù)期效用理論,而效用理論假設(shè)理性投資者都是風(fēng)險厭惡的。但由于投資者心理存在著系統(tǒng)性偏差,使得風(fēng)險厭惡并不總是成立。因此,不能將投資者的行為統(tǒng)一描述為風(fēng)險厭惡或風(fēng)險尋求,需要建立具有不同風(fēng)險態(tài)度的投資組合選擇模型。在前文基礎(chǔ)上,提出了帶有多種主觀度參數(shù)的模糊隨機期望收益率函數(shù),并借助于模糊隨機均值-標準差方法開發(fā)了一種模糊隨機投資組合模型,解決了行為金融中不同投資者的風(fēng)險偏好、不同樂悲觀度、不同心理偏差程度和不同情緒水平的投資者的投資組合選擇問題。
[Abstract]:The portfolio theory has formed two major clades: one is the asset allocation method to Markowitz's portfolio selection model based on probability theory as the cornerstone, with pure quantitative method to measure the asset's return and risk. However, assumption of Markov model is extremely demanding, the most important and the most criticism is effective the market and the assumption of rational people suffer. With the continuous development of the securities market, many empirical studies show that investors are limited rational, the stock market is not always effective, people's psychological and behavioral factors on investment decisions can not be ignored. This led researchers focus on behavior, behavioral finance has been produced accordingly, the development of another important branch of portfolio theory, behavioral portfolio theory, behavioral portfolio mainly through the financial market analysis in the market behavior Experience theory and decision-making behavior bias and belief for different market players in different environment, and strive to establish a correctly reflect the behavior and operation of the market situation the main body of the market decision-making. How to use the quantitative descriptive model of classic portfolio theory thinking, the limited rationality and effectiveness of non market investors investment behavior in combination are quantified, and the fuzzy real market uncertainty and random uncertainty, as well as the psychological and behavioral biases of investors to reflect the classical portfolio selection model, is the key to solve the problem is also an objective, accurate, basic work effectively to build a portfolio selection strategy in this thesis. Considering the investor's rational and non rational and irrational, the market validity and the validity and effectiveness of the use of incomplete, fuzzy A series of random model theory to establish the portfolio selection model, assume that the return is fuzzy random variable, and the fuzzy stochastic uncertain problem into a programming problem with rational coefficients, to minimize the loss of decision-making information. Therefore, the proposed model can help investors in the fuzzy and random double uncertain environment make a diversified portfolio selection decision. In consideration of personal preference and psychological deviation of investors (including investors optimistic and pessimistic, rational level, emotional level and risk preference) and other subjective factors influence, we further study with various constraints such as the portfolio selection model. Considering the minimum trade size the minimum amount of investment restrictions, whether to allow the borrowing of risk-free assets, whether short selling, short selling and the total investment amount limit and other objective constraints. Finally, the model is applied to the reality of the financial market, to test its effectiveness and stability. The innovations of this paper are as follows: (1) put forward the concept of the digital characteristics of fuzzy random variables; fuzzy random portfolio mean variance model is established based on the characteristics of clear digital. Combined with digital stochastic theory and fuzzy probability theory and the probability of feature advantages, defines the digital characteristics of fuzzy random variables corresponding, including fuzzy random probability fuzzy random mean value, variance and probability fuzzy random possibility covariance etc. to solve the fuzzy random variables of uncertain expectations for the decision blurred difficulties; the fuzzy random variable variance and covariance cannot clearly reflect the fuzzy and random two kinds of uncertainty of the discrete degree and correlation. Based on fuzzy random variables. Clear digital characteristics, assumption of return is fuzzy random variable, select the mean variance model to establish a risk asset portfolio, and the effectiveness of the model and compared with the Markowitz mean variance model is illustrated by an example of investment. (2) proposed the concept of a match with the expectation of fuzzy random variables. Lambda lambda variance and covariance; fuzzy random portfolio mean variance model of lambda lambda income and risk preferences to match the expectation and variance based on lambda lambda established. Most of the existing portfolio model separately examine the preference for yield or separately review the investor appetite for risk. Objectively, income and risk are mutually matched, namely high income high risk, low return and low risk. Therefore it is necessary to consider the benefits and risks of matching in the model, so as to provide investors according to the model results to make the guest The concept of rational investment decisions. Concepts of a weight value based on the definition of a lambda lambda weight weight variance and covariance for fuzzy random variables, and then get the variance risk function matching with weight value. The lambda fuzzy stochastic model for portfolio investment income risk to match the mean and variance of lambda lambda based on further. Considering that investors usually in order to obtain higher returns by borrowing the risk-free asset investment portfolio risk model is also discussed, allowed to borrow the risk-free asset. (3) the stock market rate of return caused by the non effective fuzzy uncertainty and random uncertainty quantification, quantification and optimistic and pessimistic psychological deviation of limited rational investors rate to the impact of income, make a detailed financial income of fuzzy stochastic asset ratio from the non effective market and investors in the perspective of bounded rationality Interpretation is proposed. The fuzzy random variables (x, y) based on the concept of expectation; (x, y) was established with the optimistic and pessimistic expectations of investors, fuzzy random portfolio selection model of psychological deviation and a series of practical constraints. Considering that most investors are not fully rational, in the complex market environment. Next, different investors have different psychological deviation, the extraction of information from the subjective factors of investors fuzzy random profit assets, including the optimistic and pessimistic degree and possibility. The gamma lambda level affect the investor's psychological deviation of the portfolio efficient frontier analysis found to have different psychological deviation of investors will be different investment choices efficient frontier. The empirical analysis shows that the optimistic and pessimistic parameter lambda and possibility level parameter can reflect the psychological bias of investors, and the influence on the decision results produced in. Allowed to lend a risk-free asset in the case, a series of practical constraints into fuzzy stochastic model, do further analysis and research. The results show that the proposed model due to the combined influence of fuzzy and random uncertainty factors, can give full consideration to the securities market objective reality and subjective constraints investor psychological bias that makes the model in the market is not fully effective, investors in the condition of limited rationality, model and fuzzy model is more practical and efficient than the existing probability. (4) proposed the fuzzy random variables (x, y, s) based on the concept of expectation; (x, y, s) was established with the expectations of investors the optimistic and pessimistic, fuzzy random portfolio risk preference and psychological deviation (x, y, s) the mean standard deviation model. Research on the probability theory and the optimization theory of portfolio selection problem mostly follow the expected utility theory based on The utility theory, the hypothesis of rational investors are risk averse investors. But because there are systematic psychological deviation, the risk aversion is not always true. Therefore, the behavior of investors will not seek for the unified description of risk aversion or risk, need to establish with different risk attitude of the portfolio selection model. Based on the above analysis, put forward with a variety of subjective parameter of fuzzy random expected yield function, and by using fuzzy random mean standard deviation method developed a fuzzy random portfolio model, solve the risk preference of different investors in different financial behavior, optimistic and pessimistic, different psychological deviation degree and investors with different levels of emotional investment portfolio the problem.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F224;F830.59

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