【摘要】 借鉴传统资产组合选择模型的逻辑框架,考虑不同投资者对同样不确定性的不同评价,以及同一投资者的情绪变化,以能反映投资者悲观和乐观态度的 g_λ-测度下的 Choquet 预期为数学工具,构造了能体现异质的资产组合选择模型.然后在经典假设下,分别对风险喜好、厌恶和混合型的投资者,讨论了对风险资产的最优投入和初始财富的关系.由于 Choquet 预期的引入,此关系依不同投资者和同一投资者的情绪变化而不同.更多还原

【Abstract】 Referring to the classical portfolio choice framework,the paper constructs a new portfolio choice model considering heterogeneity by fuzzy measures and the Choquet expectation,which re- flects investor’s sentiment for both pessimism and optimism to uncertainty.Under the classical as- sumptions and from the viewpoints of behavior finance,the model reveals the fundamental relation- ship between the initial endowment and the optimal investment to risky assets,corresponding to dif- ferent risk-types of investors including risk loving,risk aversion and risk varying.更多还原