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题名	展望理论下的投资者最优决策问题; The investment decision under Prospect Theory
作者	秦高洁
答辩日期	2012 ; 2012
导师	蔡立耑 ; 王起 ; 林明
关键词	实务期权 real option 展望理论 the prospect theory 均值回复 mean-revering process
英文摘要	本文在行为金融学的展望理论下，研究了real option 问题，即投资者在不确定环境下的最优投资决策问题。与传统预期效用理论相比，在行为金融学的展望理论下，投资者对于风险的态度是不同的，这种不同会直接影响到投资者的投资决策行为。本文就从量化的角度，来分析了这种不同对投资者投资决策行为的具体影响。因此，本文在讨论过程中，先后定义了两种效用函数，分别是传统预期效用理论下的连续效用函数和展望理论下的两阶段价值函数，来进行对比分析。 本质上，在展望理论的价值函数下，投资者的投资决策受两个因素的综合影响：一个是价值函数对亏损的凸性，使得投资者面对亏损时，总是存在一种心理，认为等下去情况会好转，因此往往选择推迟投资，而不是立即投资去规避等待风险；另一个是，价值函数在收支平衡点，对亏损的厌恶（即concave kink，对亏损比对同量的利得更加敏感）。 而在量化分析上，本文借鉴夏普比率，定义了平均风险调整收益率，并依其大小分情况讨论，在每一种情况中，具体量化讨论了投资者在预期净收益是亏损，利得和收支平衡点时分别会采取的决策策略。并和传统预期效用理论下的投资决策进行对比，我们发现：在展望理论下，当投资者预期投资净收益是亏损时，他会延迟投资那些平均风险调整收益率相对不是很低的项目，直到收支平衡点或者外部干扰因素出现时，才立即投资。当投资者预期净收益是利得时，他会加速投资那些平均风险调整收益率相对稍微高一些的项目。并且，投资者有在收支平衡点立即投资的倾向。这些结论都很好的印证了实证研究中发现的“reflection effect”和“break-even effect”。 本文和以往研究投资决策的文章相比，创新点主要有三个：一是，将行为金融学得展望理论运用到real option问题中，通过定义具体的价值函数，来量化研究。二是，加入了不确定地外部干扰因素的影响。三是，将项目收益假设为均值回复过程，比常用的几何布朗运动更贴近现实，更准确。; We research the real option problem for an investor under the frame of the prospect theory of Behavior finance, it means how to choose the best investment way under uncertain environment. Compared to the Traditional expect utility theory , the investors’ attitude to risk is different under the Behavior finance, this difference can affect investment behavior directly, so we quantitative analysis this specific different influence. During the analysis process, we define two kind of utility function, respectively is continuous utility function under traditional utility theory, and piecewise utility function under prospect theory, to compare. Under the value function of prospect theory ,the investment decision mainly determined by two factors :one is the convexity of the value function in loss, this feature let the investor believe the project better and better ,then they will choice waiting under loss. The other is the concave kink, the agent is more sensitive to loss than gain at the break-even point. From the quantitative analysis, we define the ratio named “risk-adjust average return” according to “Sharp ratio”, and divide it into five conditions according to its value. In every condition, we discuss what the investor will do when the expected net earnings of the project is negative, positive or break-even .We find that the investor is willing to delay the project with a relatively inferior risk adjusted average return if the expected net earnings of the project is negative, and intends to invest it when it breaks even. On the other hand, the investor may accelerate invest the project with a relatively superior risk adjusted average return if the expected net earnings of the project is positive, and, the investor intend to invest at the break-even point. These results capture the spirit of the “reflection effect” and “break-even effect” documented in the empirical and experimental studies. Compared with the former analysis, the main contribution of this paper are three points: First point is combine the prospect theory with real option, and define the specific value function to quantitative analysis. Second point is consider the external disturbance factor. Third point is assume the profit of the project follows the Mean-Revering process but not Geometric Brownian motion, this will be more accurate.; 学位：经济学硕士; 院系专业：王亚南经济研究院_金融学(含保险学); 学号：27720091152411
语种	zh_CN
出处	http://210.34.4.13:8080/lunwen/detail.asp?serial=33661
内容类型	学位论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/49486]
专题	王亚南院－学位论文
推荐引用方式 GB/T 7714	秦高洁. 展望理论下的投资者最优决策问题, The investment decision under Prospect Theory[D]. 2012, 2012.

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