[1]温利民,冯会珍,李俊雪,等.基于混合指数型损失厌恶函数的投资组合模型[J].江西师范大学学报(自然科学版),2023,(01):1-7.
　WEN Limin,FENG Huizhen,LI Junxue,et al.The Portfolio Model Based on Mixed Exponential Loss Aversion Function[J].Journal of Jiangxi Normal University:Natural Science Edition,2023,(01):1-7.
点击复制

基于混合指数型损失厌恶函数的投资组合模型()
分享到：

《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2023年01期
页码:
1-7
栏目:
金融统计与保险精算
出版日期:
2023-01-25

文章信息/Info

Title:
The Portfolio Model Based on Mixed Exponential Loss Aversion Function
作者:
温利民1; 2; 冯会珍1; 李俊雪1; 周景萃1
(1.江西师范大学数学与统计学院,江西 南昌 330022; 2.江西师范大学管理科学与工程研究中心,江西 南昌 330022)
Author(s):
WEN Limin1; 2; FENG Huizhen1; LI Junxue1; ZHOU jingcui1
(1.Department of Statistics,Jiangxi Normal University,Nanchang Jiangxi 330022,China; 2.Research Center of Management Science and Engineering,Jiangxi Normal University,Nanchang Jiangxi 330022,China)
关键词:
损失厌恶;  效用函数;  投资组合
Keywords:
loss aversion;  utility function;  portfolio
分类号:
F840.48; F 224
文献标志码:
A
摘要:
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.
Abstract:
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.

参考文献/References:

[1] 约翰·梅纳德·凯恩斯.就业、利息和货币通论 [M].陆梦龙,译.北京:中国社会科学出版社,2009.
[2] VON NEUMANN J,MORGENSTERN O.The theory of games and economic behavior [M].Princeton:Princeton University Press,1944.
[3] MARKOWITZ H.Portfolio selection [J].The Journal of Finance,1952,7(1):77-91.
[4] OSBORNE M F M.Brownian motion in the stock market [J].Operations Research,1959,7(2):145-173.
[5] FAMA E F.Random walks in stock market prices [J].Financial Analysts Journal,1965,21(5):55-59.
[6] KAHNEMAN D,TVERSKY A.Prospect theory:an analysis of decision under risk [J].Econometrica,1979,47(2):263-291.
[7] TVERSKY A,KAHNEMAN D.Advances in prospect theory:cumulative representation of uncertainty [J].Journal of Risk and Uncertainty,1992,5(4):297-323.
[8] FULGA C.Portfolio optimization under loss aversion [J].European Journal of Operational Research,2016,251(1):310-322.
[9] WANG Jia,ZHOU Mengchu,GUO Xiwang,et al.Multiperiod asset allocation considering dynamic loss aversion behavior of investors [J].IEEE Transactions on Computational Social Systems,2019,6(1):73-81.
[10] BERKELAAR A B,KOUWENBERG R,POST T.Optimal portfolio choice under loss aversion [J].Review of Economics and Statistics,2004,86(4):973-987.
[11] HE Xuedong,ZHOU Xunyu.Portfolio choice under cumulative prospect theory:an analytical treatment [J].Management Science,2011,57(2):315-331.
[12] KÖBBERLING V,WAKKER P P.Preference foundations for nonexpected utility:a generalized and simplified technique [J].Mathematics of Operations Research,2003,28(3):395-423.
[13] 张小涛.基于损失厌恶的长期资产配置研究 [D].天津:天津大学,2005.
[14] 刘慧晖.S型效用函数下的模糊多属性决策方法研究 [D].北京:华北电力大学,2017.
[15] JIN Xiu,CHEN Na,YUAN Ying.Multi-period and tri-objective uncertain portfolio selection model:a behavioral approach [J].The North American Journal of Economics and Finance,2019,47:492-504.
[16] FORTIN I,HLOUSKOVA J.Optimal asset allocation under linear loss aversion [J].Journal of Banking & Finance,2011,35(11):2974-2990.
[17] DE GIORGI E,HENS T,MAYER J.Computational aspects of prospect theory with asset pricing applications [J].Computational Economics,2007,29(3/4):267-281.
[18] PIRVU T A,SCHULZE K.Multi-stock portfolio optimization under prospect theory [J].Mathematics and Financial Economics,2012,6(4):337-362.
[19] 叶丹.基于非线性效用函数的投资组合优化模型 [D].贵阳:贵州大学,2012.
[20] 高鸿业.西方经济学 [M].2版.北京:中国人民大学出版社,2004.

备注/Memo

备注/Memo:
收稿日期:2022-10-15
基金项目:国家自然科学基金(71761019)资助项目.
作者简介:温利民(1979—),男,江西石城人,教授,博士,博士生导师,主要从事精算学与金融统计推断的研究.E-mail:wlmjxnu@163.com
更新日期/Last Update: 2023-01-25