基于动态参照点的损失厌恶投资组合优化模型

在连续时间下,考虑损失厌恶投资者参照点的动态调整特征,构建基于动态参照点的损失厌恶投资组合模型,使用鞅方法对模型进行求解,得到最优风险资产权重的解析表达式。并计算损失厌恶投资者在参照点动态调整条件下的预期最优期末财富。进一步应用数值算例,分析投资者的参照点动态调整幅度和损失厌恶水平对模型最优风险资产权重和预期最优期末财富的影响。

Loss Aversion Portfolio Optimal Model with Dynamic Reference Point

Under continuous time, considering dynamic updating character of reference point of loss aversion investors, we construct loss aversion portfolio model with dynamic reference point. Then, using martingale method, we derive the analytical expression of optimal risky asset weight, based on which we obtain the expected optimal terminal wealth of loss aversion investors whose reference point is dynamically adjusted. Furthermore, using numerical cases, we analyze the effects of dynamic adjustment amplitude of reference point and loss aversion degree of investors on model from the aspects of optimal risky asset weight and expected optimal terminal wealth.