运筹与管理2017，Vol.26Issue(10)：137-147,11.DOI:10.12005/orms.2017.0245
基于动态非线性损失厌恶的投资组合优化与实证研究
Portfolio Optimization Model Based on Dynamic Non-Linear Loss Aversion and Empirical Research
摘要
Abstract
Considering the investors' psychological characteristics of loss aversion from the perspective of behavioral finance,portfolio optimization models based on linear loss aversion and non-linear loss aversion are constructed.With China stock market data to model static scenario and four dynamic scenarios,this paper empirically studies the optimal asset allocation and performance of different portfolio optimization model with various loss aversion parameters in different scenarios,and then compares results with traditional portfolio selection models.The study demonstrates portfolio optimization models based on loss aversion performance over traditional portfolio selection models,and meanwhile,the asset allocation strategy and portfolio performances are diverse among loss aversion models with different loss aversion parameters and in different scenarios.关键词
动态损失厌恶/非线性损失厌恶/投资组合/行为投资组合Key words
dynamic loss aversion/non-linear loss aversion/portfolio selection/behavioral investment portfolio分类
管理科学引用本文复制引用
詹泽雄,吴宗法,程国雄..基于动态非线性损失厌恶的投资组合优化与实证研究[J].运筹与管理,2017,26(10):137-147,11.基金项目
同济大学-上海正享投资基金科研项目(20120641) （20120641）
上海市教育委员会科研创新项目(NO.09YS510) （NO.09YS510）
