基于损失厌恶的动态混合整数规划投资组合模型

摘要

根据Kahneman&Tversky提出的展望理论中动态损失厌恶投资组合模型,在将其参数进行改进的基础上,通过引入0-1变量将问题转化为非线性混合整数规划模型.随后通过实证,将其与均值方差模型、静态投资组合模型进行比较.结果显示,改进后的模型在对投资者偏好方面具有更高的敏感性,收益率也高于其他模型,更具有实用性和有效性.%Kahneman and Tversky put forward the prospect theory. According to the dynamic loss aversion portfolio model,this text transforms the issue into the nonlinear mixed integer programming model by modifying the ratio and introducing 0-1 programming. This text also compares it with mean-variance model and static portfolio model by putting into practice. The improved model is more sensitive to the preference of investors ,and also has a higher rate of return and is more practical as well as more effective than other models.