| 基于IOWA算子的行为证券组合投资决策研究 |
| |
| 引用本文： | 姜继娇,杨乃定.基于IOWA算子的行为证券组合投资决策研究[J].系统工程理论与实践,2004,24(11):57-62. |
| |
| 作者姓名： | 姜继娇 杨乃定 |
| |
| 作者单位： | 西北工业大学管理学院 |
| |
| 基金项目： | 国家社会科学基金(03CJY004)，航空科学基金(03J53074)，西北工业大学博士论文创新基金(CX200425) |
| |
| 摘 要： | 旨在通过建立投资者多心理账户权重的确定方法,用以改进传统的行为证券组合理论(BPT).针对投资者多心理账户的模糊性和随机性特征,引入诱导有序加权平均(IOWA)算子描述投资者心理账户的权重确定过程;基于此,建立了经过IOWA算子调整的BPT模型;算法释例表明,确定投资者各个心理账户的权重有利于精确描述其资产配置的优化过程.
|
| 关 键 词： | 行为金融 行为证券组合 诱导有序加权平均算子 心理账户 |
| 文章编号： | 1000-6788(2004)11-0057-06 |
| 修稿时间： | 2003年12月30 |
Investment Decision-making of Behavioral Portfolio Based on IOWA Operator |
| |
| JIANG Ji-jiao,YANG Nai-ding.Investment Decision-making of Behavioral Portfolio Based on IOWA Operator[J].Systems Engineering —Theory & Practice,2004,24(11):57-62. |
| |
| Authors: | JIANG Ji-jiao YANG Nai-ding |
| |
| Institution: | Management School, Northwestern Polytechnical University |
| |
| Abstract: | It's studied for improving the traditional behavioral portfolio theory (BPT) by dealing with weights of investors' multiple mental accounts. Focusing on fuzzy and stochastic characteristics of investors' multiple mental accounts, weights are described by introducing the ordered weighted averaging (IOWA) operator. Then, it's formed the new BPT model with IOWA operator. The result of case analysis shows it's described accurately of investors' capital optimization process by making certain the weights. |
| |
| Keywords: | behavioral finance behavioral portfolio IOWA operator mental accounts |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
