考虑决策者心理账户的证券组合投资模型研究

发布时间：2018-05-27 07:33

本文选题：现代组合投资 + 心理账户　；参考：《东北大学》2012年硕士论文

【摘要】：组合投资是金融市场上各类投资活动的核心,是不确定条件下的投资决策问题,是经济领域的一个重要分支。组合投资决策的核心问题是在不确定的环境下寻找收益和风险之间的平衡。传统的组合投资理论与模型多是以期望效应理论为基础建立的,假设投资决策者是完全理性人,能够获取投资决策的所有信息,并依据相关信息得出最优的组合投资方案。但是,大量的实证研究表明,金融市场中的投资者作为具有丰富心理活动的真实人,普遍存在各种认知偏差、情绪偏差和意志偏差,他们的心理、情感等因素在投资决策的过程中起着很重要的作用。这样,多数已有的组合投资模型就难以处理考虑投资决策者心理行为的情况。目前,考虑决策者心理账户的组合投资模型的已有研究成果还不多见。因此,需要对考虑决策者心理账户的组合投资问题进行研究,并构造有针对性的组合投资模型,具有非常重要的实际意义与理论意义。本文在总结与分析国内外关于组合投资决策模型与方法的研究现状及发展的基础上,对考虑决策者心理账户的组合投资问题进行了深入的研究。其目的和意义在于：在理论与方法研究层面,给出考虑决策者单个心理账户的组合投资模型、考虑决策者多个心理账户的组合投资模型,丰富或完善组合投资决策方法的研究；在应用研究层面,基于给出的组合投资模型进行算例分析,验证本文给出模型的有效性和实用性,同时也对风险投资、资产定价等组合投资问题具有指导和借鉴意义。本文主要完成以下两个方面的研究工作： (1)考虑单个心理账户的证券组合投资模型。针对投资者具有单个心理账户的投资问题,提出一种考虑决策者单个心理账户的组合投资模型。给出考虑决策者单个心理账户组合投资问题的一般描述、假设条件、模型构造及求解方法,得出投资决策者具有单个心理账户的最优投资组合方案。 (2)考虑多个心理账户的证券组合投资模型。针对投资者具有多个心理账户的投资问题,提出一种考虑决策者多个心理账户的组合投资模型。给出在不同心理账户之间投资决策者是如何分配资金,以及每个账户中资金分配情况的组合投资方案。本文以投资决策者有两个心理账户为例进行算例分析,验证了模型的可用性与合理性。本文构造的考虑决策者心理行为的组合投资模型不仅能够解决证券组合投资决策问题,还可以扩展到风险投资、收益管理、资产定价等其他问题。本文的研究为考虑决策者心理账户的组合投资问题提供了理论指导框架与分析框架,为实际组合投资问题提供了思路和指导。
[Abstract]:Portfolio investment is the core of all kinds of investment activities in the financial market, is an investment decision problem under uncertain conditions, and is an important branch of the economic field. The core problem of portfolio investment decision is to find the balance between return and risk in uncertain environment. The traditional portfolio investment theory and model are based on the expectation effect theory. It is assumed that the investment decision maker is a completely rational person who can obtain all the information of the investment decision and obtain the optimal portfolio investment scheme according to the relevant information. However, a large number of empirical studies have shown that investors in the financial market, as real people with rich psychological activities, generally have a variety of cognitive bias, emotional bias and will bias, their psychology, Emotion and other factors play an important role in the process of investment decision. Thus, most existing portfolio investment models are difficult to deal with the psychological behavior of investment decision makers. At present, there are few researches on portfolio investment models considering the psychological accounts of decision makers. Therefore, it is necessary to study the problem of portfolio investment considering the psychological account of decision makers, and construct a targeted portfolio investment model, which has very important practical and theoretical significance. On the basis of summarizing and analyzing the research status and development of the decision models and methods of portfolio investment at home and abroad, this paper makes a deep research on the problem of portfolio investment considering the psychological account of decision makers. The purpose and significance are as follows: at the level of theory and method research, this paper presents a portfolio investment model considering individual mental accounts of decision makers, and a portfolio investment model considering multiple psychological accounts of decision makers, which enriches or improves the research of portfolio investment decision-making methods. At the applied research level, based on the given portfolio investment model, an example analysis is carried out to verify the validity and practicability of the model, and it also has guidance and reference significance for portfolio investment problems such as venture capital, asset pricing and so on. This paper mainly completes the following two aspects of research work: A portfolio investment model considering a single psychological account. In order to solve the investment problem of investors with a single psychological account, a portfolio investment model considering a single psychological account of decision makers is proposed. In this paper, the general description, hypothetical condition, model construction and solution method of portfolio investment problem with single psychological account for decision makers are given, and the optimal portfolio scheme for investment decision makers with a single psychological account is obtained. A portfolio investment model considering multiple psychological accounts. In order to solve the investment problem of investors with multiple psychological accounts, a portfolio investment model considering multiple mental accounts of decision makers is proposed. This paper presents how the investment decision makers allocate the funds between different psychological accounts and the portfolio investment scheme of the allocation of funds in each account. This paper takes two psychological accounts of investment decision makers as an example to verify the availability and rationality of the model. In this paper, the portfolio investment model which considers the psychological behavior of decision makers can not only solve the portfolio investment decision-making problem, but also can be extended to venture capital, income management, asset pricing and other problems. The research in this paper provides a theoretical guidance framework and an analytical framework for the portfolio investment problem with the consideration of decision makers' psychological accounts, and provides a train of thought and guidance for the actual portfolio investment problem.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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