风险收益关系和马太效应研究

发布时间：2018-05-13 04:28

本文选题：风险收益关系 + 高风险高回报　；参考：《复旦大学》2012年硕士论文

【摘要】：投资风险与收益率二者的关系是经济投资中必须要慎重考虑的问题,也是经济学、管理学中争论不休的问题。本文基于投资风险与收益率的关系,展开了一系列真人实验,并进行了代理人模型模拟。得到了系统整体呈高风险低收益的结果,即“波曼悖论”(Bowman Paradox)中提出的风险收益负相关的趋势。代理人模型结果还显示出,代理人根据偏好不同明显的分为两组：始终偏好于选择预期收益高的房间的代理人其风险与收益呈显著的线性正相关,而其他代理人的风险与收益则呈不显著的线性负相关。本文继续从理论分析方面入手,得到了相同的结论,并且证明了偏好对于风险收益关系的影响。本文继续研究了所有代理人都用相同投资比例时,不同的投资比例对系统内部代理人之间财富分布的影响。进一步把投资比例引申为财富累积系数,利用代理人模型,演绎了马太效应使贫富差距由小变大的过程。
[Abstract]:The relationship between investment risk and rate of return is an issue that must be carefully considered in economic investment, and it is also a controversial issue in economics and management. Based on the relationship between investment risk and rate of return, a series of real-action experiments are carried out, and agent models are simulated. The result that the whole system presents high risk and low return is obtained, that is, the trend of negative correlation of risk return proposed by Bowman Paradox in "Bowman Paradox". The results of the agent model also show that the agents are obviously divided into two groups according to their preferences: the agents who always prefer to choose the room with high expected returns have significant linear positive correlation between the risk and the return. However, the risk of other agents has no significant linear negative correlation with the return. In this paper, we get the same conclusion from theoretical analysis, and prove the influence of preference on risk-return relationship. In this paper, we continue to study the influence of different investment ratios on the distribution of wealth among agents in the system when all agents use the same investment ratio. Furthermore, the investment ratio is extended to the wealth accumulation coefficient, and the Matthew effect is used to deduce the process that the gap between the rich and the poor changes from small to large by using the agent model.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.59

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