【摘要】 借鉴Kahneman&Tversky(1979)提出的展望理论,本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。通过将投资者的效用函数表示为期末财富变化的函数,建立了基于损失厌恶的最优投资组合模型。针对S-型效用函数在参考点附近的非光滑问题,设计了一个三次样条函数对其进行光滑化处理;同时,还设计了一个随机搜索算法用以处理由于目标函数的非凹性而导致出现多个局部最优解的问题。最后利用中国证券市场的实际数据验证了该模型的合理性和有效性。更多还原

【Abstract】 According to the prospect theory of Kahneman and Tversky’s(1979),this paper pats for ward an optimal portfolio selection model to maximize the S-sharp utility function based on loss aversion.For dealing with non-smoothness we have smoothed the S-sharp utility function in the vicinity of reference point,by employing cubic splines.Meanwhile,we propose a random search algorithm to deal with the possible presence of several local optima due to the objective function is not quasi-concave.Finally an empirical study using the data from Chinese stock market is given in order to prove the reasonableness and effectiveness of this model.更多还原