| 基于混合指数型损失厌恶函数的投资组合模型 |
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| 引用本文： | 温利民,,冯会珍,李俊雪,周景萃.基于混合指数型损失厌恶函数的投资组合模型[J].江西师范大学学报(自然科学版),2023,0(1):1-7. |
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| 作者姓名： | 温利民 冯会珍 李俊雪 周景萃 |
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| 作者单位： | (1.江西师范大学数学与统计学院,江西 南昌 330022; 2.江西师范大学管理科学与工程研究中心,江西 南昌 330022) |
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| 基金项目： | 国家自然科学基金(71761019)资助项目； |
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| 摘 要： | 结合前景理论的核心思想，该文从期望效用最大化的角度研究不同风险资产的配置问题.在线性损失厌恶函数的基础上，该文结合指数效用函数的性质，提出了一个新的效用函数——混合指数型损失厌恶函数，建立了混合指数型损失厌恶投资组合(MELA)模型，并对中国股票市场数据进行实证研究，得出MELA模型优于均值-方差模型的结论.
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| 关 键 词： | 损失厌恶 效用函数 投资组合 |
The Portfolio Model Based on Mixed Exponential Loss Aversion Function |
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| WEN Limin,' target="_blank" rel="external">,FENG Huizhen,LI Junxue,ZHOU jingcui.The Portfolio Model Based on Mixed Exponential Loss Aversion Function[J].Journal of Jiangxi Normal University (Natural Sciences Edition),2023,0(1):1-7. |
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| Authors: | WEN Limin " target="_blank">' target="_blank" rel="external"> FENG Huizhen LI Junxue ZHOU jingcui |
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| Institution: | (1.Department of Statistics,Jiangxi Normal University,Nanchang Jiangxi 330022,China; 2.Research Center of Management Science and Engineering,Jiangxi Normal University,Nanchang Jiangxi 330022,China) |
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| Abstract: | Combined with the core idea of prospect theory-loss aversion,the allocation of different risk assets from the perspective of expected utility maximization is studied in this paper.On the basis of the linear loss aversion function,and combined with the nature of the exponential utility function,the new utility function that is mixing loss aversion with exponential function is put forward,the mixed exponential loss aversion(MELA)portfolio model has been established.The empirical study on Chinese stock market data shows that the MELA model is superior to the Mran-Variance model. |
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| Keywords: | loss aversion utility function portfolio |
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