组合分析法在新产品概念开发与测试中的应用

介绍了组合分析法的基本模型,对2004年海南马自达新上市轿车产品概念测试进行了案例研究,运用组合分析法获得了每个受访者的属性水平效用值、属性相对重要性(偏好权重)、产品总效用函数。在此基础上,根据多属性效用聚类分析的结果获得了轿车配置偏好、价格偏好和变速器偏好三个消费群体。针对这三个属性偏好群体,详细研究了群体属性水平效用、属性相对重要性、产品总效用,模拟了市场占有率及其变化,获得了一些非常有价值的结论。     

A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem

Sustainable and responsible (SR) investors have to address two criteria types: both financial ones and those pertaining to sustainability and social responsibility. We present a comfortable tool for SR investors that allow them to express their preferences at two levels: first, by comparing criteria of the same nature, and second, via the comparison between the two superior level criteria (the financial and the SR objectives). Owing to the difficulty involved in determining a precise preference between the conflicting objectives, we address this by goal programming with fuzzy hierarchies (GPFH) modelling. This methodology is a modification of the lexicographic GP approach whereby the relative importance relations among the criteria are modelled by fuzzy relations. The proposed sequential handling for the SR portfolios selection provides information to the investors on the best result they can achieve in regard to their goals. An application to a set of UK-SR mutual funds is presented.     

Application of multi-attribute utility theory to measure social preferences for health states

A four-attribute health state classification system designed to uniquely categorize the health status of all individuals two years of age and over is presented. A social preference function defined over the health state classification system is required. Standard multi-attribute utility theory is investigated for the task, problems are identified and modifications to the standard method are proposed. The modified methods is field tested in a survey research project involving 112 home interviews. Results are presented and discussed in detail for both the social preference function and the performance of the modified method. A recommended social preference function is presented, complete with a range of uncertainty. The modified method is found to be applicable to the task--no insurmountable difficulties are encountered. Recommendations are presented, based on our experience, for other investigators who may be interested in reapplying the method in other studies.     

基于网络混合学习策略的股市投资者行为演化模型及仿真

针对投资者有限理性决策行为的模仿学习等特质,运用复杂网络、贝叶斯学习和社会学习理论,分别对个人投资者和机构投资者的投资行为决策机制进行系统性分析,由此构建基于网络混合学习策略的投资者行为演化机理和数理模型,并进行数理解析和模拟仿真。研究发现,投资者金融关联网络的拓扑结构对个人投资者行为动态演变具有较强影响,但对机构投资者的影响较弱;个人投资者的学习策略偏好影响其行为动态演变均衡状态的稳定性较为显著;机构投资者获取的私有信息精确度与其行为动态演变的均衡状态之间存在显著的非线性关联;投资者的初始行为状态对其投资行为动态演变均衡状态的影响效应均较弱。     

The influence of perceived stock value price histories in the mean–variance-instability model

The model introduced by H. Talpaz, A. Harpaz and J.B. Penson (1984. European Journal of Operational Research 14, 262–269) extends the mean–variance model introducing the concept of instability. In this way it is possible to see an investor's attitude towards predicted instability. In this paper we show how optimisation procedures based on penalty (or preferred) weighted instability matrices can be interpreted in terms of real time utility functions which depend on an `actual' and a `remembered' time series due to fading memory. This approach justifies some bounded normalised functions used to represent the investors preference between the irregular frequency fluctuations.     

Development of utility function for life insurance buyers in the Indian market

Insurance as a financial instrument has been used for a long time. The dramatic increase in competition within the insurance sector (in terms of providers coupled with awareness for the need for insurance) has concomitantly resulted in more policy options being available in the market. The insurance seller needs to know the buyer's preference for an insurance product accurately. Based on such multi-criterion decision-making, we use a logarithmic goal programming method to develop a linear utility model. The model is then used to develop a ready reckoner for policies that will aid investors in comparing them across various attributes.     

跳扩散模型下的非零和随机微分投资组合博弈

现实经济中,当股票价格受到一些重大信息影响而发生突发性的跳跃时,用跳扩散过程来描述股票价格的趋势更符合实际情况。基于这一观察,本文研究跳扩散模型下包含两个投资者的非零和投资组合博弈问题。假设金融市场中包含一种无风险资产和一种风险资产,其中风险资产的价格动态用跳扩散模型来描述。将该非零和博弈问题构造成两个效用最大化问题,每个投资者的目标是最大化终端时刻自身财富与其竞争对手财富差的均值-方差效用。运用随机控制理论,得到了均衡投资策略以及相应值函数的解析表达。最后通过数值仿真算例分析了模型相关参数变动对均衡投资策略的影响。仿真结果显示:当股价发生不连续跳跃,投资者在构造投资策略时考虑跳跃风险可以显著增加其效用水平;同时,随着博弈竞争的加剧,投资者为了在竞争中取得更好的表现,往往会采取更加激进的投资策略,增加对风险资产的投资。     

The participation puzzle with reference-dependent expected utility preferences

Expected utility theory with a smooth utility function predicts that, when allocating wealth between a risky and a riskless asset, investors allocate a positive amount to the risky asset whenever its expected return exceeds the riskless rate of return. A large number of people invest none of their wealth in risky assets, though, leading to the ”participation puzzle.” This paper explores whether the participation puzzle can be addressed when the utility function has a kink at the reference wealth level. It shows that when the reference wealth level is initial wealth increased by the riskless rate of return, there exists a range of expected excess returns for the risky asset for which the investor takes no position. Moreover, this range of expected excess returns is described by comparing a common performance measure of stock returns, the Omega Function, to a function of preference parameters. However, if the reference wealth level is any other constant, the usual expected utility prediction holds and investors allocate at least some of their wealth to the risky asset whenever it has a positive expected excess return.     

A Theory of Status-Mediated Inequity Aversion

We introduce a new social utility function which relates inequity aversion to social status, effort, and ability. The basic idea is as follows: Actors do not suffer from inequality but from inequity relative to a fair share that reflects some normative orientation the actors have internalized. In this regard we advocate the rule of proportionality which states that rewards should be proportional to some standard of comparison. We apply this social utility function to various games from non-cooperative and cooperative game theory and interpret the results with respect to the effects of social status on behavioral outcomes.     

基于均值-熵的机构投资者行为投资组合模型

考虑决策者的有限理性,利用相对财富和习惯形成效用函数描述了机构投资者的投资组合决策行为;在SHEFRIN和S TATM AN行为投资组合理论(BPT)框架下,引入均值-熵度量证券投资组合风险;由此,建立了一种机构投资者行为投资组合决策模型,算法释例进一步验证了其有效性.     

含有背景风险的双目标投资组合模型研究

投资者进行投资实践时无不面临着背景风险。绝大多数以均值方差为框架的投资组合并没有考虑背景风险,其效用在实际应用中容易受到背景风险的影响。本文在含有交易费用的双目标函数模型中引入背景风险,从是否含有背景风险和背景风险偏好度大小两方面对投资组合问题展开研究,并使用智能算法得到模型的最优解,对模型进行实证分析。实证结果表明:1)当背景风险收益为0时,含有背景风险的投资组合比不含有背景风险的投资组合更能反映真实的投资环境。2) 当背景风险收益不为0时,含有背景风险的投资组合比不含有背景风险的投资组合得到更高的收益。因此,考虑背景风险后投资组合的构建优于不考虑背景风险投资组合的构建。     

投资组合模型的改进研究:基于企业社会责任视角的实证分析

在尊重和借鉴前人对企业社会责任研究,尤其是在企业社会责任评价研究基础之上,本文从投资者的角度在投资组合过程中研究企业社会责任。在Markowitz(均值—方差)理论模型上添加企业社会责任的三个一级指标期望作为目标函数,由此将传统的投资组合模型扩展为五个目标函数的投资组合选择模型,而且我们根据经济学中经典的效用函数理论证明了此模型的正确性。本文引入主流的企业社会责任评价标准,并对一些典型公司进行打分量化。在此基础之上建立了以期望回报率、回报率的方差、核心利益相关者期望、蛰伏利益相关者期望和边缘利益相关者期望为目标函数的投资组合选择模型,在最小方差曲面上选取10个点构造投资组合,并以样本外的数据验证了模型的有效性。研究发现:根据此模型计算出来的部分投资组合回报率显著高于同期的市场指数。研究结果表明,这种关注企业社会责任的多目标投资组合选择模型,不仅让投资者可以直接控制企业社会责任,而且实际数据证明了此模型的优势之处,从而为关注企业社会责任的投资者提供一种投资的方法和思路。     

Baseline models are not “finishline” models: A sympathetic critique of Mayhew's strategy

A rationalist view of Relative Deprivation is possible if it is represented with extended preference. In the social movements studies, the concept of relative deprivation has been treated as an intervening variable, which is determined by the interpersonal comparisons and causes the social movements. The most important problem is whether a relatively deprived individual has an incentive for social movements or not. On the one hand he has different reference persons to whom he experiences relative deprivation and a sense of his subjective welfare, which make him behave in respective ways. But on the other hand he can behave in only one way at one time. We formalize the concept of the relative deprivation and construct the model that the relative deprivation and his preference in the ordinary sense are both the factors determining his behavior. Then it is deduced that there's no effect of the feeling relative deprivation for each individual to decide his way under some adequate conditions. So it should be concluded that the concept of the relative deprivation is not effective to explain social movements or social change in collectivities.     

The optimal solution of ESG portfolio selection models that are based on the average ESG score

Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors.     

A decision theory for partially consonant belief functions

Partially consonant belief functions (pcb), studied by Walley, are the only class of Dempster-Shafer belief functions that are consistent with the likelihood principle of statistics. Structurally, the set of foci of a pcb is partitioned into non-overlapping groups and within each group, foci are nested. The pcb class includes both probability function and Zadeh’s possibility function as special cases. This paper studies decision making under uncertainty described by pcb. We prove a representation theorem for preference relation over pcb lotteries to satisfy an axiomatic system that is similar in spirit to von Neumann and Morgenstern’s axioms of the linear utility theory. The closed-form expression of utility of a pcb lottery is a combination of linear utility for probabilistic lottery and two-component (binary) utility for possibilistic lottery. In our model, the uncertainty information, risk attitude and ambiguity attitude are separately represented. A tractable technique to extract ambiguity attitude from a decision maker behavior is also discussed.     

Multiple criteria linear programming model for portfolio selection

The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choice under risk. Models consistent with the preference axioms are based on the relation of stochastic dominance or on expected utility theory. The former is quite easy to implement for pairwise comparisons of given portfolios whereas it does not offer any computational tool to analyze the portfolio selection problem. The latter, when used for the portfolio selection problem, is restrictive in modeling preferences of investors. In this paper, a multiple criteria linear programming model of the portfolio selection problem is developed. The model is based on the preference axioms for choice under risk. Nevertheless, it allows one to employ the standard multiple criteria procedures to analyze the portfolio selection problem. It is shown that the classical mean-risk approaches resulting in linear programming models correspond to specific solution techniques applied to our multiple criteria model. This revised version was published online in June 2006 with corrections to the Cover Date.     

Multiperson decision-making based on multiplicative preference relations

A multiperson decision-making problem, where the information about the alternatives provided by the experts can be presented by means of different preference representation structures (preference orderings, utility functions and multiplicative preference relations) is studied. Assuming the multiplicative preference relation as the uniform element of the preference representation, a multiplicative decision model based on fuzzy majority is presented to choose the best alternatives. In this decision model, several transformation functions are obtained to relate preference orderings and utility functions with multiplicative preference relations. The decision model uses the ordered weighted geometric operator to aggregate information and two choice degrees to rank the alternatives, quantifier guided dominance degree and quantifier guided non-dominance degree. The consistency of the model is analysed to prove that it acts coherently.     

Portfolio optimization for wealth-dependent risk preferences

Empirical and theoretical studies of preference structures of investors have long shown that personal and corporate utility is typically multimodal, implying that the same investor can be risk-averse at certain levels of wealth while risk-seeking at others. In this paper, we consider the problem of optimizing the portfolio of an investor with an indefinite quadratic utility function. The convex and concave segments of this utility reflect the investor’s attitude towards risk, which changes based on deviations from a fixed goal. Uncertainty is modeled via a finite set of scenarios for the returns of securities. A global optimization approach is developed to solve the proposed nonconvex optimization problem. We present computational results which investigate the effect of short sales and demonstrate that the proposed approach systematically produces portfolios with higher values of skewness than the classical expectation-variance approach.     

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.     

基于风险偏好和公平偏好的PPP项目政府补偿机制研究

本文在综合考虑社会资本风险偏好和公平偏好的基础上,构建了政府与社会资本之间的Stackelberg博弈模型,分析了社会资本风险偏好和公平偏好影响下PPP项目政府补偿机制的最优设计。研究表明:社会资本的最优投资水平随风险规避度的增高而降低,随公平偏好程度的增高而增高;政府补偿机制的最优设计应是在考虑单期风险及公平溢价成本的基础上,估计单期期望运营收益的高低,进而协调年建设成本补偿及运营期补偿系数两者的相对关系,设计最优的年建设成本补偿和运营期补偿系数。