考虑投资者心理的模糊多目标投资组合模型及交互式算法
发布时间：2018-11-29 12:21
【摘要】：考虑证券市场的模糊不确定性和投资者的不同风险偏好特征,将资产收益率及换手率视为模糊变量,以投资组合的收益、风险及流动性为投资目标,构建考虑投资者风险态度的模糊多目标投资组合模型。进一步,考虑投资者损失厌恶及参照依赖等心理特征,设计基于累积前景理论和TOPSIS法的交互式算法(CPT-TOPSIS交互式算法)求解模型。最后,采用实证方法检验模型及算法的有效性。结果表明:CPTTOPSIS交互式算法和考虑投资者风险态度的模糊多目标投资组合模型不仅能够反映投资者的风险偏好、损失厌恶和参照依赖的心理特征,满足不同风险态度投资者的投资需求,且能获得超过市场的收益,可以作为投资者实际决策的依据。
[Abstract]:Considering the fuzzy uncertainty of the securities market and the different risk preference characteristics of the investors, the return on assets and turnover rate are regarded as fuzzy variables, and the return, risk and liquidity of the portfolio are regarded as the investment objectives. A fuzzy multi-objective portfolio model considering investor's risk attitude is constructed. Furthermore, considering the psychological characteristics of investor loss aversion and reference dependence, an interactive algorithm (CPT-TOPSIS interactive algorithm) based on cumulative foreground theory and TOPSIS method is designed. Finally, empirical method is used to test the validity of the model and algorithm. The results show that the CPTTOPSIS interactive algorithm and the fuzzy multi-objective portfolio model considering investor's risk attitude can not only reflect the psychological characteristics of investor's risk preference loss aversion and reference dependence. Satisfying the investment demand of investors with different risk attitude and earning more than the market can be used as the basis for investors' actual decision.
【作者单位】： 东北大学工商管理学院;
【基金】：国家自然科学基金资助项目(71571041,71571038,71473033)
【分类号】：F832.51
，
本文编号：2364983
[Abstract]:Considering the fuzzy uncertainty of the securities market and the different risk preference characteristics of the investors, the return on assets and turnover rate are regarded as fuzzy variables, and the return, risk and liquidity of the portfolio are regarded as the investment objectives. A fuzzy multi-objective portfolio model considering investor's risk attitude is constructed. Furthermore, considering the psychological characteristics of investor loss aversion and reference dependence, an interactive algorithm (CPT-TOPSIS interactive algorithm) based on cumulative foreground theory and TOPSIS method is designed. Finally, empirical method is used to test the validity of the model and algorithm. The results show that the CPTTOPSIS interactive algorithm and the fuzzy multi-objective portfolio model considering investor's risk attitude can not only reflect the psychological characteristics of investor's risk preference loss aversion and reference dependence. Satisfying the investment demand of investors with different risk attitude and earning more than the market can be used as the basis for investors' actual decision.
【作者单位】： 东北大学工商管理学院;
【基金】：国家自然科学基金资助项目(71571041,71571038,71473033)
【分类号】：F832.51
，
本文编号：2364983
本文链接：https://www.wllwen.com/jingjilunwen/touziyanjiulunwen/2364983.html
