基于后悔厌恶的行为风险投资组合优化模型

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1、贵州大学硕士学位论文BahavioralPortfolioOptimizationModelwithVentureCapitalBasedonRegretAversionAbstractThisdissertationincorporatesilliquidprivateequityfundsintheframeworkofMerton’sclassictheoryonintertemporalportfolioselection,wedevelopa3-assetfinite-horizoncontinuoustimemodeltoe

2、xploreimpactsofilliquidityontherestrictedinvestor’soptimalinvestmentdecisions.Illiquidityofprivateequityfundsiscapturedbytheassumptionthatprivateequitycannotbetradedduringtheirentireboundedlifecycle,theinvestorcanonlychoosethetimingandsizeofhisnewcommitmentsinstead.Accor

3、dingtospecialnatureofprivateequityfunds,continuoustimeportfoliooptimizationmodelsinvolvingriskaversionandregretaversionareestablished,respectively.Numericalcalculationisadoptedtoanalyzethesemodels.Moreover,themainresultsareasfollows:1.ForaninvestorwithCRRApowerutilitydef

4、inedonterminalportfoliowealth,weshowtheinvestorhowtooptimallycommitcapitaltoprivateequityfundsandhowtooptimallyrebalancebetweentheliquidstocksandbondsovertime.Theframeworkalsoenablesustodirectlystudytheeffectsofilliquidityonoptimalportfolioallocationsandoninvestors’utili

5、ties.Bycomparison,withthedecreaseofcorrelationcoefficientbetweenprivateequityfundsandstocks,theinvestorwithCRRApowerutilitywillincreasethetargetweightoftheriskyassets,ifboththemeanrateofreturnofriskyassetsarehigherthanthatofabond.2.Foraninvestorwithregretaversion,weshowt

6、heinvestorhowtooptimallycommitcapitaltoprivateequityfundsandhowtooptimallyrebalancebetweentheliquidstocksandbondsovertime.Theframeworkalsoenablesustodirectlystudytheeffectsofregretaversiononoptimalportfolioallocationsandoninvestors’utilities.Bycomparison,withthedecreaseo

7、fcorrelationcoefficientbetweenprivateequityfundsandstocks,theinvestorwithregretaversionwillincreasethetargetweightoftheriskyassets,ifboththemeanrateofreturnofriskyassetsarehigherthanthatofabond.III万方数据贵州大学硕士学位论文3.Bycomparison,wefindregret-aversionhasanimpactonthedecision

8、makingoftheinvestor.AninvestorwithregretaversionismorecautiouswithriskyassetsthantheinvestorwithCRRApow