基于展望理论的投资组合保险均衡研究

投资组合保险交易策略是在保证一定财富水平的情况下，又不失去从有利市场中获利的机会。投资组合保险者将最低要保金额作为赢得或损失的参照点，这与展望理论所描述的决策行为是一致的。文章引入展望理论的价值函数建立一般均衡模型，模型推广了Basak的一般均衡模型，使其成为一个特例；同时，模型表明投资组合保险的存在将有效地降低市场波动率，进而降低风险溢价。

Study of Equilibrium Model of Portfolio Insurance Based on Prospect Theory

A portfolio insurance trading strategy is to participate in the potential gains while in the bad state which guarantees a minimum level of wealth. It makes the deadline as the conference of gains or losses,this is similar to prospect theory about the behavior of decision making. This paper constructs a general equilibrium model by introducing prospect theory into the insurer s utility functions and shows the model which Basak constructed being a special case. Meanwhile,the paper shows the existence of portf...