【摘要】 以投资者的投资心理为基础,建立了基于过度自信心理的风险溢价模型,运用此模型建立了基于亏损概率的套利风险模型和基于期望损失的套利风险模型,研究了套利的有限性和投资心理给套利者造成的套利风险。模型的分析结果表明,投资者的过度自信会限制套利者的套利行为。更多还原

【Abstract】 Based on the investors’ psychology,a risk premium model is built by using overconfidence.Using this model,we build two models of risks of arbitrage based on loss probability and expected loss to study the limits of arbitrage and the risks of arbitrage.Results show that the existence of risk for rational arbitragers and the investors’ psychology overconfidence could limit the rational arbitrageur’s behavior.更多还原