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不同于传统的代表性经济人的动态投资组合选取模型,引入异质理念,考虑不同投资者的动态组合选取.由于投资者的乐观或悲观情绪直接影响了他对信息的评价,因此用随时间变化的参数体现投资者的情绪,随机组合收益分布是这个参数的函数,不同的投资者或者同一投资者在不同情绪下就有了自己独特的收益分布.通过对均值——方差目标函数的变形,给出了不同投资者对风险资产的最优投入、预期收益和方差的解析表达式,此三项不仅和投资者的风险厌恶度有关,而且和投资期长短有关、与投资者的情绪有关.在对香港恒生指数的实证分析显示,异质性严重影响投资者对风险资产的投入.
Different from the traditional representative economic man’s dynamic portfolio selection model, the introduction of heterogeneous ideas, consider the dynamic portfolio selection of different investors.As investors optimistic or pessimistic mood directly affects his evaluation of information, so with time The changing parameters reflect the investor’s sentiment. The distribution of random portfolio returns is a function of this parameter. Different investors or same investors have their own unique profit distribution under different emotions. Through the transformation of the mean-variance objective function , Gives the different investors’ optimal investment of risk assets, expected returns and variance analytical expressions, these three not only related to the degree of investor risk aversion, but also with the length of the investment period, and investor sentiment In an empirical analysis of the Hang Seng Index in Hong Kong, the heterogeneity has seriously affected investors’ investment in risky assets.