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  本文選題：現(xiàn)代組合投資 + 心理賬戶��； 參考：《東北大學》2012年碩士論文

【摘要】：組合投資是金融市場上各類投資活動的核心,是不確定條件下的投資決策問題,是經(jīng)濟領(lǐng)域的一個重要分支。組合投資決策的核心問題是在不確定的環(huán)境下尋找收益和風險之間的平衡。傳統(tǒng)的組合投資理論與模型多是以期望效應理論為基礎建立的,假設投資決策者是完全理性人,能夠獲取投資決策的所有信息,并依據(jù)相關(guān)信息得出最優(yōu)的組合投資方案。但是,大量的實證研究表明,金融市場中的投資者作為具有豐富心理活動的真實人,普遍存在各種認知偏差、情緒偏差和意志偏差,他們的心理、情感等因素在投資決策的過程中起著很重要的作用。這樣,多數(shù)已有的組合投資模型就難以處理考慮投資決策者心理行為的情況。目前,考慮決策者心理賬戶的組合投資模型的已有研究成果還不多見。因此,需要對考慮決策者心理賬戶的組合投資問題進行研究,并構(gòu)造有針對性的組合投資模型,具有非常重要的實際意義與理論意義。 本文在總結(jié)與分析國內(nèi)外關(guān)于組合投資決策模型與方法的研究現(xiàn)狀及發(fā)展的基礎上,對考慮決策者心理賬戶的組合投資問題進行了深入的研究。其目的和意義在于：在理論與方法研究層面,給出考慮決策者單個心理賬戶的組合投資模型、考慮決策者多個心理賬戶的組合投資模型,豐富或完善組合投資決策方法的研究；在應用研究層面,基于給出的組合投資模型進行算例分析,驗證本文給出模型的有效性和實用性,同時也對風險投資、資產(chǎn)定價等組合投資問題具有指導和借鑒意義。 本文主要完成以下兩個方面的研究工作： (1)考慮單個心理賬戶的證券組合投資模型。針對投資者具有單個心理賬戶的投資問題,提出一種考慮決策者單個心理賬戶的組合投資模型。給出考慮決策者單個心理賬戶組合投資問題的一般描述、假設條件、模型構(gòu)造及求解方法,得出投資決策者具有單個心理賬戶的最優(yōu)投資組合方案。 (2)考慮多個心理賬戶的證券組合投資模型。針對投資者具有多個心理賬戶的投資問題,提出一種考慮決策者多個心理賬戶的組合投資模型。給出在不同心理賬戶之間投資決策者是如何分配資金,以及每個賬戶中資金分配情況的組合投資方案。本文以投資決策者有兩個心理賬戶為例進行算例分析,驗證了模型的可用性與合理性。 本文構(gòu)造的考慮決策者心理行為的組合投資模型不僅能夠解決證券組合投資決策問題,還可以擴展到風險投資、收益管理、資產(chǎn)定價等其他問題。本文的研究為考慮決策者心理賬戶的組合投資問題提供了理論指導框架與分析框架,為實際組合投資問題提供了思路和指導。
[Abstract]:Portfolio investment is the core of all kinds of investment activities in the financial market, is an investment decision problem under uncertain conditions, and is an important branch of the economic field. The core problem of portfolio investment decision is to find the balance between return and risk in uncertain environment. The traditional portfolio investment theory and model are based on the expectation effect theory. It is assumed that the investment decision maker is a completely rational person who can obtain all the information of the investment decision and obtain the optimal portfolio investment scheme according to the relevant information. However, a large number of empirical studies have shown that investors in the financial market, as real people with rich psychological activities, generally have a variety of cognitive bias, emotional bias and will bias, their psychology, Emotion and other factors play an important role in the process of investment decision. Thus, most existing portfolio investment models are difficult to deal with the psychological behavior of investment decision makers. At present, there are few researches on portfolio investment models considering the psychological accounts of decision makers. Therefore, it is necessary to study the problem of portfolio investment considering the psychological account of decision makers, and construct a targeted portfolio investment model, which has very important practical and theoretical significance. On the basis of summarizing and analyzing the research status and development of the decision models and methods of portfolio investment at home and abroad, this paper makes a deep research on the problem of portfolio investment considering the psychological account of decision makers. The purpose and significance are as follows: at the level of theory and method research, this paper presents a portfolio investment model considering individual mental accounts of decision makers, and a portfolio investment model considering multiple psychological accounts of decision makers, which enriches or improves the research of portfolio investment decision-making methods. At the applied research level, based on the given portfolio investment model, an example analysis is carried out to verify the validity and practicability of the model, and it also has guidance and reference significance for portfolio investment problems such as venture capital, asset pricing and so on. This paper mainly completes the following two aspects of research work: A portfolio investment model considering a single psychological account. In order to solve the investment problem of investors with a single psychological account, a portfolio investment model considering a single psychological account of decision makers is proposed. In this paper, the general description, hypothetical condition, model construction and solution method of portfolio investment problem with single psychological account for decision makers are given, and the optimal portfolio scheme for investment decision makers with a single psychological account is obtained. A portfolio investment model considering multiple psychological accounts. In order to solve the investment problem of investors with multiple psychological accounts, a portfolio investment model considering multiple mental accounts of decision makers is proposed. This paper presents how the investment decision makers allocate the funds between different psychological accounts and the portfolio investment scheme of the allocation of funds in each account. This paper takes two psychological accounts of investment decision makers as an example to verify the availability and rationality of the model. In this paper, the portfolio investment model which considers the psychological behavior of decision makers can not only solve the portfolio investment decision-making problem, but also can be extended to venture capital, income management, asset pricing and other problems. The research in this paper provides a theoretical guidance framework and an analytical framework for the portfolio investment problem with the consideration of decision makers' psychological accounts, and provides a train of thought and guidance for the actual portfolio investment problem.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.91;F224

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