| 行为金融框架下"期望收益-方差"投资原理的局限性 |
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| 引用本文： | 杨春鹏,姜伟,杨德平.行为金融框架下"期望收益-方差"投资原理的局限性[J].青岛大学学报(自然科学版),2006,19(4):76-79,85. |
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| 作者姓名： | 杨春鹏 姜伟 杨德平 |
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| 作者单位： | 青岛大学经济学院,青岛,266071;青岛大学经济学院,青岛,266071;青岛大学经济学院,青岛,266071 |
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| 摘 要： | 在行为金融的框架下，通过基于过度自信心理和自我归因偏差心理的展望价值模型，研究了马科维茨“期望收益-方差”投资原理的局限性。研究结果表明：投资者的过度自信心理和展望价值最大化选择准则会使得投资者拒绝接受“期望收益-方差”投资原理。
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| 关 键 词： | 投资组合 行为金融 过度自信 展望价值 |
| 文章编号： | 1006-1037（2006）04-0076-04 |
| 收稿时间： | 2006-09-09 |
| 修稿时间： | 2006-09-09 |
Limits of "Expected Return-Variance" Principle under Framing of Behavioral Finance |
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| YANG Chun-peng,JIANG Wei,YANG De-ping.Limits of "Expected Return-Variance" Principle under Framing of Behavioral Finance[J].Journal of Qingdao University(Natural Science Edition),2006,19(4):76-79,85. |
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| Authors: | YANG Chun-peng JIANG Wei YANG De-ping |
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| Institution: | College of Economics, Qingdao University, Qingdao 266071, China |
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| Abstract: | The limits of principle of "Expected Return-Variance" were studied by using generalized prospect model.This model includes investor's psychology overconfidence and biased self-attribution.Results show that the investors based on overconfidence and biased self-attribution and the "maximum prospect value" rules of choice would refuse to accept the principle of "Expected Return-Variance". |
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| Keywords: | portfolio behavioral finance overconfidence prospect value |
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