| 过度自信条件下授权投资组合管理模型分析 |
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| 引用本文： | 周家文,康媛璐,夏宇彤. 过度自信条件下授权投资组合管理模型分析[J]. 经济问题, 2011, 0(8) |
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| 作者姓名： | 周家文 康媛璐 夏宇彤 |
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| 作者单位： | 湖南涉外经济学院商学部;四川大学公共管理学院;吉林大学经济学院; |
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| 摘 要： | 过度自信对投资策略及资产均衡价格将产生重要影响,通过构建过度自信条件下授权投资组合管理模型,分析了过度自信对机构投资者授权投资行为的影响。研究表明,投资组合均衡主要依赖于过度自信水平,当代理人理性或者适度过度自信时,可观察到投资交易数量是过度自信水平的减函数,若过度自信水平足够强且努力成本很小时最优投资组合交易数量则是过度自信的增函数。
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| 关 键 词： | 过度自信 投资组合 委托代理 |
The Analysis of the Authorized Investment Portfolio Management Model Based on Overconfidence |
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| ZHOU Jia-wen,KANG Yuan-lu,XIA Yu-tong. The Analysis of the Authorized Investment Portfolio Management Model Based on Overconfidence[J]. On Economic Problems, 2011, 0(8) |
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| Authors: | ZHOU Jia-wen KANG Yuan-lu XIA Yu-tong |
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| Affiliation: | ZHOU Jia-wen1,KANG Yuan-lu2,XIA Yu-tong3(1.School of Commerce,Hunan International Economics University,Changsha 410205,China,2.School of Public Administration,Sichuan University,Chengdu 610064,3.School of Economics,Jilin University,Changchun 130012,China) |
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| Abstract: | There is major impact of overconfidence on investment strategy and asset equilibrium price.The paper analyzes the effect of overconfidence on the authorization investment behavior of institutional investor based on constructed investment portfolio model.The result shows investment portfolio equilibrium mainly depends on the level of overconfidence.The observed the number of investment transactions is a decreasing function of the level of overconfidence when agent is rational or moderately overconfident.Opti... |
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| Keywords: | overconfidence investment portfolio principal-agent |
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