摘要
考虑人的心理行为因素,引入行为金融理论于风险管理主体的决策体系,指出了管理者的有限理性心理结构;基于BSV(Barberis-Shleifer-Vishny)思想建立了一种风险度量模型,据此调整了传统的行为证券组合理论;算法释例结果表明,该模型接近证券组合风险决策的实际情景。
<Abstrcat> Considering mental factors,behavioral finance is introduced into decision-making system of risk management executors. Bounded rational mental structures of managers are pointed out.It's formed the risk measurement model based on BSV(Barberis-Shleifer-Vishny) ideology,by which the traditional behavioral portfolio theory is adjusted.Simulation results show it's approaching the practical situation.
出处
《中国管理科学》
CSSCI
2005年第3期32-36,共5页
Chinese Journal of Management Science
基金
国家软科学研究计划项目 (2 0 0 3DGS3B0 3 4)
西北工业大学博士论文创新基金项目(CX200425)
关键词
行为金融
证券组合
风险管理
有限理性
心理帐户
behavioral finance
portfolio
risk management
bounded rational
mental account
