摘要
利用单期经济环境中具有损失厌恶效用的投资者的资产配置问题分析了Kahneman和Tversky提出的前景理论中损失厌恶效用的曲率参数和损失厌恶系数的取值范围及其之间的关系,得出两个曲率参数α,β不相等,且β大于α;同时发现损失厌恶系数λ的下界不是固定不变的,而是随着市场环境的变化而改变;投资于风险资产的比例是曲率参数β,α之差的函数,并随着β-α增加而增加.本文使用中国股票市场的收益数据对理论分析进行了实证检验,实证结果与理论分析结果基本一致,并发现中国市场下的损失厌恶系数下界远小于英美等发达国家市场.
The curvature parameters and coefficient of loss aversion utility function proposed in prospect theory by Kahneman and Tversky are researched by means of asset allocation under a single period economic system with aloss aversion investor. This article proved that the curvature parameters, α,β, should be not equal and have a relationship of β - α 〉 0 and that the loss aversion coefficient, λ, is not a constant and changes with market environments. The ratio of risk assets varies with the difference of β, α and increases with the difference. These theoretical analyses are tested with data from China＇ s stock market; the empirical result is consistent with the theoretical analysis. An interest finding is that the lower bound of loss aversion coeffieient of China＇ s stock market is far less than that of developed counties.
出处
《管理科学学报》
CSSCI
北大核心
2016年第5期56-67,共12页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71071109
71320107003
71201113)
关键词
资产配置
损失厌恶效用
损失厌恶参数
asset allocation
loss aversion utility
loss aversion parameter
