投资者偏好、决策准则以及组合选择优化

Investors‘ Preference, Decision Criterion and Portfolio Optimization

中文关键词:  确定性偏好  满意准则  正态性转换  组合优化

英文关键词:certainty preference  satisfaction criterion  normality transition  portfolio optimization

中文摘要:

      在不确定性条件下,由于期望的不可计算性、行动结果比较的局限性以及投资者选择的有限理性,传统决策模型的精巧性在投资实务中无法体现,于是对于复杂的不确定性决策问题的研究又重新回到了对决策技术研究、偏好以及决策准则选择的讨论。文章首先探讨了有限理性的投资者确定性偏好与满意准则的形成；然后基于VaR与CVaR构建满意水准—风险模型,探讨了正态与部分非正态性假设下满意水准—风险模型的显性解或有效边界；最后通过相关实际数据,验证了正态性转换方法与满意水准—风险模型是适合中国股票市场测度风险与组合决策选择的一种有效方法。

英文摘要:

      Under the uncertainty, due to the non-computability of expectation, limitation in the comparison of action result, and bounded rationality of individual investors, the traditional decision-making model cannot show its delicacy in investment practices. Hence, the complex decision-making of uncertainty comes back to the discussion of decision-making technology, preference and decision criterion. Firstly, this paper discusses how certain preference and satisfaction criterionare formed for the investors who are of bounded rationality. Secondly, it builds aSatisfaction Criterion and Riskmodel based on VaR and CVaR to study respectively the obvious optimal solutions and its efficient frontier of the model in the assumptions of normality and less abnormal distribution. Finally, Normality Transition and Satisfaction Criterion and Risk modelare testified to be an effective method to estimate the risk and choose the portfolio in China's stock market via some real data. 