【摘要】：考慮證券市場的模糊不確定性和投資者的不同風(fēng)險偏好特征,將資產(chǎn)收益率及換手率視為模糊變量,以投資組合的收益、風(fēng)險及流動性為投資目標(biāo),構(gòu)建考慮投資者風(fēng)險態(tài)度的模糊多目標(biāo)投資組合模型。進(jìn)一步,考慮投資者損失厭惡及參照依賴等心理特征,設(shè)計基于累積前景理論和TOPSIS法的交互式算法(CPT-TOPSIS交互式算法)求解模型。最后,采用實證方法檢驗?zāi)Ｐ图八惴ǖ挠行浴＝Y(jié)果表明:CPTTOPSIS交互式算法和考慮投資者風(fēng)險態(tài)度的模糊多目標(biāo)投資組合模型不僅能夠反映投資者的風(fēng)險偏好、損失厭惡和參照依賴的心理特征,滿足不同風(fēng)險態(tài)度投資者的投資需求,且能獲得超過市場的收益,可以作為投資者實際決策的依據(jù)。
[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.
【作者單位】： 東北大學(xué)工商管理學(xué)院;
【基金】：國家自然科學(xué)基金資助項目(71571041,71571038,71473033)
【分類號】：F832.51
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本文編號：2364983