Research On Dynamic Portfolio Selection Model Based On Investor Sentiment

Securities portfolio theory is one of the important fields of finance research.Its purpose is to allocate funds to different assets reasonably to diversify risks and ensure returns.Investment strategies in the financial investment market will be affected by many factors,in which investor sentiment is one of the important influencing factors.Therefore,it is of practical significance to study the influence of investor sentiment on investment strategies.The current researches on the impact of investor sentiment on investment strategies are mostly empirical analysis or the establishment of static models.Based on the dynamic portfolio theory,my paper considers investor sentiment and other factors to establish dynamic portfolio selection models under the influence of multiple factors.The main contents are as follows:(1)Considering the influence of investor sentiment and stochastic interest rate on dynamic portfolio,my paper establishes a sentiment portfolio selection model under the influence of stochastic interest rate.The optimal investment strategy and effective frontier are obtained by using dynamic programming principle and Lagrange duality.Through numerical simulation,the influence of investor sentiment on optimal investment strategy and effective frontier is analyzed.(2)In view of the fact that the price fluctuation of risky assets will be impacted by unexpected events,my paper uses jump-diffusion process to describe the dual characteristics of continuous volatility and intermittent jump of risky asset prices,and considers the influence of investor sentiment.Then,a sentiment portfolio selection model under the impact of unexpected events is established.The optimal investment strategy and effective frontier are obtained by using dynamic programming principle and Lagrange duality.Through numerical simulation,the impact of investor sentiment changes on the optimal investment strategy and effective frontier under the impact of unexpected events is analyzed,as well as the impact of unexpected events on investment risks under different investor sentiment levels.(3)In the actual financial market,investor sentiment has stochastic volatility.Therefore,my paper constructs a stochastic differential equation to describe the dynamic characteristics of investor sentiment,and considers the impact of dynamic sentiment into dynamic portfolio.Then,a dynamic sentiment portfolio selection model under noise interference is constructed.Under the power utility function,the optimal investment strategy is obtained by using dynamic programming principle.Through numerical simulation,the influence of sentiment parameters on the optimal investment strategy and wealth process is analyzed.