摘要
基于行为金融学中的心理账户理论,建立投资者拥有诸多心理账户时的投资优化模型,运用均值方差准则和安全首要准则,分别对不存在无风险资产、允许无风险借贷和不允许无风险借贷三种情形求得最优投资策略,并提出投资者总财富的分配方案。研究表明,基于心理账户的最优投资策略有助于提高投资效率、降低风险,并且容易实施。最后基于数值模拟结果验证了理论结果的有效性。
Based on the theory of mental accounting in behavioral finance,the investment portfolio selection models of different psychological accounts are established,and the optimal strategies are obtained under the rules of mean-variance and safety-first for three cases,and the total returns of wealth are reasonably distributed among the mental accounting.The optimal investment strategy considering mental accounting improves the investment performance of investors by improving investment efficiency and reducing risks,and the investment strategy is easier to implement in each independent mental accounting.Some numerical examples are used to verify the conclusion of the model.
作者
赵新成
ZHAO Xin-cheng(School of Economics and Management,Guangzhou City Construction College,Guangzhou 510900,China)
出处
《运筹与管理》
CSSCI
CSCD
北大核心
2020年第11期196-203,共8页
Operations Research and Management Science
基金
国家社会科学基金项目(18BJY062)
广东省哲学社会科学规划项目(GD18XYJ20)。
