| 多心理账户下机构投资者的风险优化研究 |
| |
| 引用本文： | 姜继娇,杨乃定.多心理账户下机构投资者的风险优化研究[J].运筹与管理,2004,13(4):88-92. |
| |
| 作者姓名： | 姜继娇 杨乃定 |
| |
| 作者单位： | 西北工业大学,管理学院,陕西,西安,710072 |
| |
| 基金项目： | 国家社会科学基金资助项目(03CJY004)，航空科学基金资助项目(03J53074) |
| |
| 摘 要： | 从决策有限理性角度，引入行为金融理论于机构投资风险优化系统，对多心理账户条件下机构投资的风险优化设计进行了研究。以Friedman和Savage之谜为释例，对机构投资风险优化中的诸多非标准金融异像进行了解释。以Shefrin和Statman行为证券组合理论为核心，建立了多心理账户条件下机构投资的风险优化模型，为机构投资的风险优化实践提供了一种量化分析工具。
|
| 关 键 词： | 金融学 风险优化 行为证券组合理论 机构投资者 多心理账户 |
| 文章编号： | 1007-3221(2004)04-0088-05 |
| 修稿时间： | 2003年11月9日 |
The Study on Risk Optimization of Institutional Investors with Multiple Mental Accounts |
| |
| JIANG Ji-jiao,YANG Nai-ding.The Study on Risk Optimization of Institutional Investors with Multiple Mental Accounts[J].Operations Research and Management Science,2004,13(4):88-92. |
| |
| Authors: | JIANG Ji-jiao YANG Nai-ding |
| |
| Abstract: | From the bounded rational viewpoint of decision-makers, behavioral finance theories are introduced into the risk optimization system of institutional investors, which are studied under multiple mental accounts. It interprets many non-standard financial abnormity phenomena, with the riddle of Friedman and Savage as a case. Based on behavioral portfolio theory of Shefrin and Statman, the risk optimization model of institutional investors is formed under multiple mental accounts, which is a quantitative tool for practice. |
| |
| Keywords: | finance risk optimization behavioral portfolio theory institutional investors multiple mental accounts |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
