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Research Of The Portfolio Model Based On Expected Behavioral Utility

Posted on:2016-09-19Degree:MasterType:Thesis
Country:ChinaCandidate:H GuFull Text:PDF
GTID:2309330503476394Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
The traditional theory of investment decision is based on hypothesis of "economic man" and the principle of maximizing investors’ economic interests, then researching the effective way of distribution wealth in different financial products. However, there are many investment "visions" in real economic activity, and large numbers of empirical studies have shown that investors exist cognitive biases, emotional bias and will bias. Thus psychological and emotional factors can’t be ignored from the investors in the investor’s investment decision-making process.Firstly, this paper expounds the relevant theories of portfolio, describes the Expected Utility Theory, Modern Portfolio Theory, the non Expected Utility and other portfolio theory and introduces the development of Expected Utility Theory and Modern Portfolio Theory, in addition,it puts forward the definition of mental accounting and loss aversion. Then the paper studies the portfolio problem of risk free asset and risk asset based on expected behavioral utility, puts forward to investor preference structure and utility function which can reflect the risk characteristics, and constructs the EBU model of portfolio investment with hierarchical demand characteristics. Because of the special characteristic and form of utility function of risk asset, the paper constructs and analyses the portfolio model of risk assets. Finally, considering the practical investment practice, with the change of market conditions and relative wealth, investors’ loss aversion coefficient and the reference point will change, the paper establish the Dynamic portfolio model and carries on the contrast analysis with the static model.
Keywords/Search Tags:Expected behavioral utility, Portfolio, Final wealth utility, Procedural gain-and-loss utility, Dynamic loss aversion
PDF Full Text Request
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