运筹与管理Issue(1)：188-195,8.
基于动态损失厌恶投资组合优化模型及实证研究
摘要
Abstract
In order to study the effect of loss aversion from behavioral finance on investment decisions , a dynamic loss aversion portfolio optimization model that maximizes the expected utility is constructed .Relying on the stock market divided into three states including rise , decline and consolidation , we empirically study the performance of the dynamic loss aversion portfolio model and compare it with the performance of static loss aversion portfolio model as well as mean-variance and CVaR portfolio models .At last , changing the reference point , we check on robustness of the dynamic loss aversion portfolio model .We find that the dynamic loss aversion portfolio model clearly outperforms the static model , mean-variance portfolio model and CVaR portfolio model .关键词
行为金融/动态损失厌恶/投资组合/前景理论/稳健性检验Key words
behavioral finance/dynamic loss aversion/portfolio/prospect theory/robustness test分类
管理科学引用本文复制引用
金秀,王佳..基于动态损失厌恶投资组合优化模型及实证研究[J].运筹与管理,2014,(1):188-195,8.基金项目
国家自然科学基金资助项目 （）
