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基于均值-熵的机构投资者行为投资组合模型 被引量：2

Behavioral Portfolio Model of Institutional Investors Based on Mean-Entropy
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摘要 考虑决策者的有限理性,利用相对财富和习惯形成效用函数描述了机构投资者的投资组合决策行为;在SHEFRIN和S TATM AN行为投资组合理论(BPT)框架下,引入均值-熵度量证券投资组合风险;由此,建立了一种机构投资者行为投资组合决策模型,算法释例进一步验证了其有效性. Considering decision-makers＇ bounded rational, it＇s described portfolio decision- making behaviors of institutional investors with the relative wealth and habit formation utility function. Under the framework of Shefrin and Statman＇s behavioral portfolio theory （BPT）, risks of portfolio are measured by mean-entropy. So, it＇s formed the hehavioral portfolio model of institutional investors, which is verified with an example.
作者 姜继娇 杨乃定
机构地区 西北工业大学管理学院
出处 《数学的实践与认识》 CSCD 北大核心 2006年第2期37-41,共5页 Mathematics in Practice and Theory
基金 国家自然科学基金项目资助(70571064) 西北工业大学博士论文创新基金项目(CX200425)
关键词 行为金融 行为投资组合理论 均值-熵 机构投资者 behavioral finance behavioral portfolio theory mean-entropy institutional investors
分类号 F224 [经济管理—国民经济]
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参考文献12

  • 1Barberis N,Thaler R.A Survey of Behavioral Finance[A].In:Constantinides G M,Harris M.Stulz R Handbook of the Econonics of Finance[C].Amsterdam:Elsevier,2002.
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二级参考文献60

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数学的实践与认识
2006年 第2期

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