摘要
从投资者心理感受出发,考虑损失规避现象,应用展望理论的价值函数思想,引进均衡因子。运用隶属函数刻画收益和风险的价值满意度。建立了均值半绝对价值离差的资产组合选择模型。从"上证30指数"中选择20种股票,通过实证分析,与半绝对离差模型做了比较。结果显示此模型可行,且更能体现投资者对损失的心理感受。
From incsforis psychological feelings,considenzg tjhe loss averison phenonenon,Applying the thought of value function of prospect theory,the tradeoff factor is introduced,used the membership function to describe the value satisfaction of the benefits and risks,and set up a portfolio selection model based on the mean semi-absolute value deviation.Selecting 20 as the choice securities from the Shanghai Stock 30 Index,through empirical analysis,compared to semi-absolute deviation model,it is show that this model is feasible,and can reflect investors＇ psychological feeling of loss well
出处
《科学技术与工程》
北大核心
2012年第13期3180-3183,3187,共5页
Science Technology and Engineering
基金
江苏省教育厅高校哲学社会科学研究重大项目与重点项目(2010ZDAXM004)
中央高校基本科研业务费重点项目(2010B28514)资助
关键词
半绝对价值离差
损失规避
价值满意度
均衡因子
价值函数
mean semi-absolute value deviation loss aversion value satisfaction tradeoff factor value function
