Research On Fuzzy Portfolio Model Considering Subjective Psychological Factors Of Investors

The core issue of a portfolio in a financial market is how to build a portfolio to generate revenue and spread risk.The traditional portfolio theory represented by Markowitz is based on the strict "effective market" and "rational people" hypothesis,and studies how rational investors conduct asset allocation.However,in the development of the securities market,more and more investment ―vision‖ indicates that investors are affected by systematic deviations such as psychology,emotions and cognition when making investment decisions,and behavioral finance has emerged.Since then,the behavioral portfolio theory has gradually developed.It focuses on the impact of the ―irrational‖ and ―heterogeneous‖ psychological factors on investment decisions,and establishes a portfolio model that objectively reflects the actual decision-making behavior of market participants.Following the Markowitz portfolio model,many scholars have studied the portfolio selection problem under random uncertainty framework of probability theory and achieved certain results.However,the securities market is a complex system.In addition to random uncertainty,it often exists in fuzzy uncertainties.For example,the factors that need to be considered in securities investment often involve social,economic,cultural and psychological aspects,which are closely related to fuzzy information and vagueness.In addition,the liquidity of securities,the overall situation of the securities market,the degree of satisfaction of investors with the return on securities investment,etc.,cannot be described by certain numerical values,so they also involve fuzzy information.With the advent of fuzzy set theory,in recent years,many scholars have considered the fuzzy uncertainty in the securities market into the issue of portfolio selection,and then studied the fuzzy portfolio problem.In summary,this paper uses fuzzy set theory,portfolio theory and behavioral finance theory to conduct in-depth research on the fuzzy portfolio of investors considering subjective psychological factors.The main work is as follows:(1)We propose a fuzzy portfolio model considering the subjective sentiment of investors in the economic cycle.Based on the natural volatility of the economic cycle,the emotional cognition benefit and emotional cognition risk of investors’ subjective emotions are proposed.On this basis,we introduce the risk-free asset and construct the fuzzy portfolio model considering the subjective sentiment of investors in the economic cycle.Finally,an empirical study was conducted.(2)We prorose a fuzzy portfolio model that considers investors’ dual subjective psychological factors.Using prospect theory to describe the risk preference characteristics of investors,this paper proposes investment returns and risks considering the dual subjective psychological factors of subjective emotion and risk preference.Furthermore,by introducing the realistic constraints of transaction costs,we construct a fuzzy portfolio model considering investors’ dual subjective psychological factors.Finally,an empirical study was conducted.