含学习强度的资本资产定价模型及其实证分析

发布时间：2018-02-04 07:11

本文关键词： 前景理论学习强度稳定因子　出处：《新疆大学》2017年硕士论文　论文类型：学位论文

【摘要】：两类投资者的风险态度因心理因素而随时间变化,例如前景理论。即在收益(亏损)情形下风险厌恶(风险偏好)的逆转。因此,根据前景理论,对于基本面分析者引入时变的风险厌恶系数,假定当风险资产的价格与其基本价值相差越来越大时,基本面分析者的风险厌恶系数将越小,进而引入一个稳定因子。对于图表分析者我们引入一个含学习强度的非线性价格预期函数。运用差分方程的理论分析了确定性模型的平衡解、稳定性及其分支情况,通过对确定性模型的分析我们得出学习强度具有破坏系统稳定性的作用而稳定因子具有稳定系统的作用。最后,取确定的非线性函数进行数值模拟,通过对比本模型、Beum-Jo Park(2014)模型及上证指数,发现本模型能更好地模拟金融市场中收益序列的非正态性、波动聚集性及平方收益序列的自相关性。
[Abstract]:The risk attitude of the two types of investors changes with time due to psychological factors, such as prospect theory, that is, the reversal of risk aversion (risk preference) in the case of return (loss). Therefore, according to the prospect theory. For fundamental analysts introducing time-varying risk aversion coefficient it is assumed that the risk aversion coefficient of fundamental analysts will be smaller when the price of risk assets is more and more different from its basic value. Then a stability factor is introduced. For the chart analyser, we introduce a nonlinear price expectation function with learning strength. The equilibrium solution of the deterministic model is analyzed by using the theory of difference equation. By analyzing the deterministic model, we conclude that the learning intensity has the function of destroying the stability of the system, and the stability factor has the function of stabilizing the system. Finally. The determined nonlinear function is used for numerical simulation, and the Beum-Jo Parkian 2014) model and the index of Shanghai Stock Exchange are compared. It is found that this model can better simulate the non-normality, volatility aggregation and autocorrelation of the return series in the financial market.
【学位授予单位】：新疆大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：O175.7

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