基于投资者情绪的投资组合模型研究

中国管理科学 ›› 2012, Vol. ›› Issue (3): 47-56.

基于投资者情绪的投资组合模型研究

陈其安, 朱敏, 赖琴云

重庆大学经济与工商管理学院, 重庆 400030

收稿日期:2011-07-13 修回日期:2012-02-10 出版日期:2012-06-29 发布日期:2012-07-05
基金资助:
重庆市自然科学基金项目(CSTC,2011BB2088);教育部人文社会科学规划基金项目(11YJAZH013);中央高校基本科研业务费资助(CDJRC1102001,CDJSK100208)

Study on Portfolio Model Based on Investor Sentiment

CHEN Qi-an, ZHU Min, LAI Qin-yun

School of Economics and Business Administration, Chongqing University, Chongqing 400030, China

Received:2011-07-13 Revised:2012-02-10 Online:2012-06-29 Published:2012-07-05

摘要/Abstract

摘要： 本文在假设投资者风险厌恶、且其风险厌恶程度受其情绪影响的条件下,以投资者效用最大化为决策目标,建立基于投资者情绪的投资组合模型从理论上研究投资者情绪对投资组合结构及其收益-风险关系的影响。研究结果表明,当投资者过度乐观时,其将通过银行借贷融资等方式购买超额风险资产;当投资者情绪处于相对理性状态时,其将合理分配无风险资产和风险资产的投资比例;当投资者情绪处于悲观状态时,其将卖空风险资产。当投资者情绪处于过度乐观和相对理性状态时,投资组合预期超额收益与风险正相关;当投资者情绪处于悲观状态时,投资组合预期超额收益与风险负相关。论文研究结果修正了前人的相关研究结论,是对传统投资组合理论的深化和发展。

关键词: 投资者情绪, 投资组合, 收益-风险关系

Abstract: Under the hypothesis that investors are risk averters whose risk aversion degree is affected by the sentiment, taking the utility maximization as the investors’ decision objection,the effect mechanism of investor sentiment on the portfolio structure and the return-risk relationship of portfolio by setting up a portfolio model based on the investor sentiment theoretically is studied in this paper. The results show that investors will buy the excess risk asset by bank lending when they are over-optimistic, distribute the proportion of the free-risk assets and risk assets reasonably when they are relatively rational, and short risk assets when they are pessimistic. In addition, the expected excess return of portfolio is positively related to its risk when investors are over-optimistic or relatively rational, and negatively related to its risk when investors are pessimistic.All in all,in this paper,the previous relevant research conclusions are modified, and the traditional portfolio theory is expanded and deepened in a certain degree.

Key words: investor sentiment, portfolio, return-risk relationship

中图分类号:

F830.91

陈其安, 朱敏, 赖琴云. 基于投资者情绪的投资组合模型研究 [J]. 中国管理科学, 2012, (3): 47-56.

CHEN Qi-an, ZHU Min, LAI Qin-yun. Study on Portfolio Model Based on Investor Sentiment[J]. Chinese Journal of Management Science, 2012, (3): 47-56.

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