摘要
考虑人的心理行为因素,利用价值函数描述了投资者的认知风险;以Copu la联结函数、混合分布和Jacob矩阵,建立了多心理账户条件下证券组合决策的联合概率分布和关联结构;在Shefrin和S tatm an行为证券组合理论体系下,提出了一种基于认知风险价值的行为证券组合模型;算法释例结果表明,相对于传统的行为证券组合理论,该模型更为逼近证券组合决策的实际情景。
Considering hominine bounded rational factors, it＇s described investors＇ perceived risks with a value function. With the Copula coupling function, co-distribution and Jacob matrix, it＇s formed the co-probability distribution and coupling structure of portfolio decision-makings with multiple mental accounts. With the behavioral portfolio theory of Shefrin and Statman, a behavioral model based on perceived risk values has been proposed. Results of arithmetic case show that it＇s superior to traditional theories.
出处
《系统工程》
CSCD
北大核心
2006年第1期70-75,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70571064)
西北工业大学博士论文创新基金资助项目(CX200425)
关键词
行为金融
认知风险
价值函数
行为证券组合
Behavioral Finance
Perceived Risk
Value Function
Behavioral Portfolio
