| 基于多属性模糊决策的行为投资组合优化模型 |
| |
| 引用本文： | 方勇,孙绍荣. 基于多属性模糊决策的行为投资组合优化模型[J]. 商业研究, 2008, 0(5): 11-15 |
| |
| 作者姓名： | 方勇 孙绍荣 |
| |
| 作者单位： | 上海理工大学管理学院,上海,200093 |
| |
| 基金项目： | 国家自然科学基金 , 上海市重点学科建设项目 , 上海市重点基础研究项目 , 上海市高校优秀青年教师后备人选科研项目 |
| |
| 摘 要： | Simon认为经典决策理论的假定过分地严格,在实际中往往难以满足。运用上、下偏矩的方法来估计未来财富不低于渴求水平的概率,并基于多属性模糊决策方法构建两个心理帐户的行为投资组合优化模型。模型中融入了不同质投资者的真实情感、信念及认知状态,实证分析的结果表明该模型具有很强的实用性和包容性。
|
| 关 键 词： | 行为金融学 行为投资组合 多属性模糊决策 模糊流动性 优化模型 |
| 文章编号： | 1001-148X(2008)05-0011-04 |
| 修稿时间： | 2007-06-25 |
Behavioral Portfolio Optimization Model Based on Multiple Attribute Fuzzy Decision-making |
| |
| FANG Yong,SUN Shao-rong. Behavioral Portfolio Optimization Model Based on Multiple Attribute Fuzzy Decision-making[J]. Commercial Research, 2008, 0(5): 11-15 |
| |
| Authors: | FANG Yong SUN Shao-rong |
| |
| Abstract: | Simon believes that traditional decision-making theory is excessively strict and cannot satisfy the factual cases.In this paper,the probability of the event that future wealth is no less than the aspiration level is estimated with the method of upper and lower partial moment,and a behavioral portfolio optimization model of two mental accounts is presented based on multiple attribute fuzzy decision-making.The real emotion,belief and cognitive states of heterogeneous investors are incorporated in the model and the result of empirical analysis indicates proves very practical. |
| |
| Keywords: | behavioral finance behavioral portfolio multiple attribute fuzzy decision making optimization model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
