【作者】 刘晓东；

【导师】 刘力臻；

【作者基本信息】 东北师范大学 ， 金融学， 2017， 博士

【摘要】 现在的行为金融学对于风险决策悖论问题的解释没有说明该问题产生的机理。心理学中的预期情绪被视为解决风险决策悖论问题的有效因素。本文正是在这一主要的观点下展开研究的。为了有效地把心理学中的预期情绪理论引入到经济学的框架中,本文基于预期情绪的原理给予了“生态理性”这一假设条件的具体解释。在此基础上,把“生态理性”作为基本观点来研究决策问题。本文认为预期情绪中的后悔和欣喜情绪是影响决策结果的主要因素。决策者的主观意愿和外界环境使得避免后悔和追求欣喜成为辅助决策的主要动机;在上述动机下,决策者形成了风险决策的“悖论”。上文所述的“预期情绪动机观”是对心理学中的“预期情绪影响效用”这个观点的继承和发展;该观点可以有效地解释实验数据中的悖论问题。把预期情绪动机引入到经典的投资组合理论中,通过二次规划推导出了避免后悔动机和追求欣喜动机的投资者的投资边界主观曲线方程。引入情绪动机后,以避免后悔为动机的投资者的主观投资边界曲线位置高于最小方差集合,该类投资者会买入风险较小的组合并且增加风险资产的投资比例;以追求欣喜为动机的投资者的主观投资边界曲线低于最小方差集合,该类投资者会买入高风险组合并降低风险资产的投资比例以对冲风险。即时情绪也对投资决策产生影响。即时情绪通过传播的方式会在投资者中形成群体心理。在群体心理的状态下,投资者会一致性高估或低估证券市场的预期收益,这导致了市场出现显著的向上或向下波动;在一定条件下,证券市场的波动会影响投资者情绪,形成正反馈循环。实证数据证明了上述假说的正确性。根据理论和实证研究的结论,本文针对证券市场提出了监管的政策建议。有别于制度建设的建议,本文所提出的政策建议偏重于投资者心理方面,属于证券市场“文化”建设范畴。更多还原

【Abstract】 At present,Behavioral Finance does not explain the mechanisms of the problem of risk decision paradox.Anticipatory emotions in psychology are seen as an effective factor in solving the paradox of risk decision making.This article is under this main point of view.In order to introduce the theory of anticipatory emotion into the framework of economics effectively,this paper sets up the hypothesis of ecological rationality and decision maker’s self-interest.Under the above assumptions,this paper argues that regret and joyful are the main factors that influence the outcome of the decision.The subjective intention and external environment of decision maker make the avoidance of regret and pursuit of joyful become the main motivation of assistant decision making.Under the regret theory,the decision maker use the expected utility theory form the paradox of risk decision-making.The concept of anticipatory emotional motivation is the inheritance and development of the "anticipated emotional impact utility" in psychology,which can effectively explain the paradox in experimental data.By introducing the expected emotional motivation into the classical portfolio theory,the investment boundary curve equation of the investor avoiding regret motivation and pursuit pleasure motivation is derived through the Quadratic Programming.After the introduction of emotional motivation,The investors whose motive is avoid regret emotion tend to buy less risk and increase the risk of asset investment ratio,whose investment boundary curve is higher than minimum variance boundary curve;The investors whose motive is pursuit of joyful emotion tend to buy more risk and decrease the risk of asset investment ratioin order to reduce risk,whose investment boundary curve is lower than minimum variance boundary curve.Immediate emotiont also has an impact on investment decisions.Immediate emotions form a group mind among investors through the means of communication.In the group mind state,investors will expect the return of the stock market in mistake,which led to the market upward or downward.under this conditions,the volatility of the stock market will affect investor sentiment,forming a positive feedback loop.The empirical data prove the validity of the above hypothesis.According to the conclusions of theoretical and empirical research,this paper puts forward policy recommendations for the securities market.Different from the suggestion of the system construction,the policy suggestion put forward in this paper focuses on the psychology of investors,and belongs to the category of "culture" construction in the securities market.更多还原