系统管理学报2012，Vol.21Issue(4)：540-545,6.
含有无风险资产的情绪最优投资组合
Sentiment-based Portfolio with Risk Free Asset
摘要
Abstract
We construct a sentiment-based optimal portfolio model which includes the risk free asset, and derive the analytical solution and the efficient frontier equation. We then carry out a numerical simulation of the model. The analysis verifies that investor sentiment is a key factor, which affects the investment weight of asset and the efficient frontier. When the sentiment increases (declines) , the investment weight of risk free asset will be lower (higher) and the slope of efficient frontier will increase (decrease). The finding is also supported through empirical analysis. The empirical results show that RMB saving deposit is significantly negative with the investor sentiment, which interprets the "Moving Money" (the important phenomenon in Chinese financial market) by investor sentiment.关键词
投资者情绪/投资组合/无风险资产Key words
investor sentiment/asset portfolio/risk free asset分类
管理科学引用本文复制引用
谢军,杨春鹏,闫伟..含有无风险资产的情绪最优投资组合[J].系统管理学报,2012,21(4):540-545,6.基金项目
国家自然科学基金资助项目(70871042) （70871042）
