基于后悔规避的投资组合模型及其实证分析

由于人的情感、认知等因素对投资活动有直接影响，本文在投资活动中引入人的情感因素，提出了基于后悔规避的投资者效用函数，该效用函数是期末财富和预期财富的函数。建立了存在无风险资产时的最优投资组合模型，发现基于后悔规避投资组合模型的组合前沿存在两基金分离的现象。对我国上海股票市场进行了实证分析，得到了基于后悔规避投资组合模型的组合前沿，并验证了组合前沿存在两基金分离现象的结论。

Optimal Portfolio Choice Model Based On Regret Aversion and Empirical Studies

The essential behavior of an investor will influence his financial activities.This paper considers the regret aversion in portfolio choice problem of an investor and proposes the new utility function based on regret aversion which is not only the function of final wealth but also the function of the expected level of final wealth.On the foundation of the new utility function,it constructs the optimal portfolio choice model based on regret aversion.This optimal portfolio choice model generates two-fund separation.Finally,it takes empirical studies on Shanghai stock mar- ket and obtains portfolio frontiers of the new model.And the conclusion that the model generates two-fund separation is testified.