Research On Portfolio Model Considering The Decision-Maker’s Mental Accounts

Portfolio is the core of all kinds of investment activities in financial markets, and it’s a kind of investment behavior under the uncertain conditions, and it’s also an important branch in economic and management activities. The core problem of portfolio is to find the balance between the returns and risk under the uncertain conditions. Most of the traditional portfolio theory and methods are based on expected utility theory, which requires a strict assumption that the decision-maker is completely rational. The decision-maker can get all the information that he/she needs for making decisions, and the decision-maker can also use the information to make optimal decisions. However, a lot of the empirical research shows that investors in the financial market is a rich psychological activity of real people, and he/she has all kinds of cognitive biases, emotional bias and will deviation. Their mental and emotional factors play an important role in the investment decision-making process. Thus, most of the existing portfolio models are hard to deal with the condition that considers investor’s psychological behavior. Currently, the research that investment portfolio models are structured considering the decision-maker’s mental accounts is rare. Therefore, it is of great important theoretic and practical significance to structure portfolio models considering the decision-maker’s mental accounts.On the basis of a comprehensive review of the research status and development of portfolio theories and methods, this thesis is to study portfolio models considering the decision-maker’s mental accounts further. The purpose and significance of the research are as follows:in the theory and method research aspect, proposes a portfolio model considering the decision-maker’s single/multiple mental accounts, intend to enrich or improve the research of portfolio; in the practical research aspect, chose some decision problems of portfolio as the numerical examples to illustrate the feasibility and validity of the proposed methods. And it has great guidance and reference significance to Risk investment, asset pricing combined investment.This thesis mainly finishes the following works:First, the portfolio model considering the decision-maker’s single mental accounts. With regard to the decision-maker has single mental accounts problem, a portfolio model considering the decision-maker’s single mental accounts is proposed. For research about this problem, the research frame, general description, assumptions, model of structure and the solution method of this problem are given. This paper concludes the optimal investment combination scheme in the case that decision maker has the single mental accounts.Second, the portfolio model considering the decision-maker’s multiple mental accounts. With regard to the decision-maker has multiple mental accounts problem, a portfolio model considering the decision-maker’s multiple mental accounts is proposed. This paper provides decision-makers is how to divide the proceeds in different mental accounts, and gives each account capital allocation in a combination of investment projects.The proposed investment model that considers investor’s psychological behavior can not only be used to solve the securities investment decision problem, but also be used to solve some other practical problems, such as risk investment, income tube, asset pricing and other problem. This paper provides a theoretical guidance framework and the framework of analysis to the study portfolio models considering the decision-maker’s mental accounts, and also provides the ideas and guidance of the related study.