Behavioral Portfolio Decision-making Model Based On CPT

Portfolio investment is the core of investment activities of securities market.Classical investment theory has an important assumption which is that investors are rational.However,with the deepening of the research,the investment decision-makers gradually realize that the investment decision-making is not only the result of rational reasoning,but also should pay attention to the irrational psychological factors of the decision-makers.This paper starts from the perspective of irrational people,considering various irrational psychological factors of investors which include the deviation of probability perception,aversion to loss,deviation of value perception,dependence on reference point and so on,and constructs a new behavioral securities portfolio decision-making model.First of all,this article has the following two improvements based on the classical mean-variance model with the.risk aversion coefficient:1 Use comprehensive prospec-t value in cumulative prospect theory instead of the expected value of the original model.2 According to the theory of mental accounts,add mental accounts constraint in constraint conditions,mainly in order to depict the investment stratification which is caused by the investment behavior of investors according to different investmen-t objectives.Then,using Lagrange multiplier method and the relationship between psychological account factor and risk aversion coefficient,the solution steps of the model are given.Finally,obtain historical data of stocks belonging to different field from Shanghai stock exchange,verify the practicality and feasibility of model by solv-ing the numerical model.The actual effect of the model is verified by comparing the frequency of reaching the established investment target and the probability threshold of the investor,the rate of reaching the standard is counted,and it is of positive significance to guide the investor to invest.in the empirical part,we also explore the influence of volatility and expectation value on the comprehensive prospect value.there is a negative correlation between the integrated prospect value and the volatil?ity of stock price,there is a positive correlation between the volatility of stock price and the expected rate of return of stock.It is proved that the comprehensive prospect value is a reasonable evaluation index.