摘要
现行的投资者决策理论主要研究各种参数不确定情况下投资者的动态决策最优解,很少考虑个体投资者能够通过学习行为提高自身投资决策能力这一事实。针对Brennan(1998)的动态决策模型,将考虑投资者期望收益的不确定性和投资者个体学习过程相结合,推导出一个基于学习行为的投资者3期最优决策模型。实证结果表明,证券市场上的个体投资者具有学习需求,存在学习行为,且其学习行为包含一定的学习成本。
In the present Investors＇ Decision Theory the investors＇ dynamic investment optimal solution is mainly considered under all kinds of the uncertainty of the parameters, but the fact that the investment decision capability of investors can be improved through his learning behavior is seldom considered. Based on the Brennan＇s （1998） dynamic investment decision model, this paper develops an investor＇s learning-decision model, which combines the uncertainty of the expected returns with the investor＇s learning process, to calculate the optimal decision for a three-period investment and the optimal investment size. In our empirical study, our calculation results support the model assumption and conclusion that single investors have a demand for learning and their learning costs are real in their process of investment decision.
出处
《系统工程》
CSSCI
CSCD
北大核心
2015年第11期18-23,共6页
Systems Engineering
基金
湖南省自然科学基金资助项目(11JJ5052)
湖南省社会科学基金资助项目(2010YBA163)
国家自然科学基金资助项目(71171076)
关键词
学习行为
学习成本
投资者决策模型
Learning Behavior
Learning Cost
Investors＇ Decision Model
