基于行为金融的资产选择模型研究
|
摘要
现代金融(Modern Finance)承袭主流经济学(特别是新古典经济学)的分析方法与数理分析技术,经过近40年的努力,建立起了一套从公理假设到应用理论都很完善的理论体系。许多经典的现代金融理论和模型均是建立在理性人假设和Fama提出的“有效市场假说”这两个理论基础之上,其研究范式也局限于“完全理性”的分析框架。现代金融理论的理性人假设使其得以忽略人的具体决策行为而方便构建理论体系,但也因此使得决策过程成为了黑箱。
然而,现实生活中人们很难做到完全理性。在以现代金融理论的模型和方法对金融市场进行实证检验中,金融学家们遇到了许多不能被现代金融理论解释的“异象”(Anomalies),同时对经济的预测也出现了较大误差。在此种情况下,一些经济学家为使理论更好地符合现实,将决策过程中的主观因素和心理因素纳入了研究视角,于是20世纪80年代中期逐渐兴起了行为金融(Behavioral Finance)的研究热潮。经过近20年的发展,基于“有限理性”和“有限套利”(有称“非有效市场”)这两个与现代金融理论恰好相反的理论基础,行为金融逐步形成了如下的基本观点:投资者不是理性人,而是普通的正常人;投资者也不是同质的;投资者是损失厌恶型的,而不是风险厌恶型;投资者的风险态度并不是一致的;市场并不是有效的。
作为现代金融中的核心理论之一,现代资产选择理论的研究基础同样建立于现代金融理论基础之上,也不可避免地带有现代金融理论的局限性:即对金融市场上投资者的决策过程进行了理想化假设,在基于理性预期(Rational Expectation)、风险回避(Risk Aversion)、效用最大化等假设基础之上,投资者的决策过程被抽象成为一个追求主观期望效用(SEU)最大化的过程。行为金融的研究表明现代资产选择理论的假设基础并不符合人们的实际决策过程中的心理和行为,理论模型在现实中缺乏可操作性。
改变现代资产选择理论的假设基础,在符合人们决策心理和行为的基础上,研究适合的资产选择模型以满足实际投资应用的需要则成为了一个既有理论意
After 40'year endeavor, modern finance (MF) has been established a suit of integrity theory system( from axiom theories to application theories), which inherit the mainstream economic (especialy Neoclassic Economic) approach and mathematical analysis technology. Many classical theories and models of MF are based on the rational agent suppose and Efficient Market Hypothesis (EMH) put forward by Fama, which research pattern also localized on the analysis frame of complete rationality. Rational agent suppose makes modern finance theories overlook man's concrete decision-making behavior, then decision-making course is turned into a black-box.However, people are quite difficult to live up to complete rationality in the real life. Finance specialists have been encountered many anomalies which cannot be explained by modern finance theories, when they applied the models and approachs of modern finance theories to make empirical tests on finance market. At the same time, finance specialists found there were rather errors when they were applied to forecast economy. Under such situation, in order to make theories more accord with realism, some economist introduced individual' subjective factors and psychology factors into finance study fields. Then, the upsurge of study Behavoral Finance (BF) rised gradually in the later 1980s. After near 20 years development, based on bounded rationality and limits to arbitrage, which are in opposition to modern finance theory, behavioral finance gradually formed its' basic viewpoints: investors are common agent rather are rational agent; investors are not homogenous; investors are loss aversion rather risk aversion; investors' risk attitude are not all consistent; and the market is also not efficient.Among modern finance theories, Modern portofio theory (MPT) is one of the most important theories, which is also based on the basises of modern finance theories. So MPT inevitably have its' localization: investors need only to maxmize their subjective expected utility in their decision-making course, on the assumption that investors' decision-making accord with ideal perfect finance market, namely investors possess such characters as rational expectation, risk aversion and utility maximum. Researches in behavioral finance indicate that hypothesis basises of
modern portfolio theories do not accord with people's real decision-making psychology and behavior, and it is short of maneuverability.Based on according with people' decision-making psychology and behavior, it becomes an important task to study suited portfolio model to meet the needs of real invest application through change the hypothesis basises of MPT. Shefrin and Statman has made some valuable explore along such derection. We first suppose that investors can make good forecast for future and they violate Expected Utility Theory on the risk choose and risk judgement. Then based on those exited research fruits of BF and different risk measurement, and through combining BF with MPT, we present some behavioral portfolio models which can give investors better guidance for their real invest decision-making. The main research contents are as follows:1. The main theories accomplishment and basic viewpoints of MF are summarized. The challenge to MF from BF and basic viewpoints of BF are discussed briefly. The development history of MPT are also summrized ,and sum up the latest thoughts on MPT. We definitely bring forward that the development of finance should be combined BF research with MF research.2. The development historal of behavioral finance are summarized detailedly and the study system of BF are sum up generally.3. Aimed at such characters as losses aversion and reference-point setup which investors possess, setting out from the notion of variance risk, we put forward the mean-value variance model, the mean-subjective value variance model and mean-double target value variance model. We also discuss the utility function form of mean-value variance model and prove that the two fund separation theorem holds in the market when all investors adopt the same invest behavior.4. Based on deviation risk measurement, we bring forward a new risk meansureindex, namely value deviation , and put forward mean-absolute value deviation model and mean-maximize value deviation model, we also introduce such notion as return trade-off factor into the upper two model to improve them, which were put forward in decision-making science field, finally, on the assumpion that there are the same reference point for all the security, we present some portfolio models in which can be applied SP/A theory and vulue function.5. Introducing return balance factor, we substitute value deviation for return
然而,现实生活中人们很难做到完全理性。在以现代金融理论的模型和方法对金融市场进行实证检验中,金融学家们遇到了许多不能被现代金融理论解释的“异象”(Anomalies),同时对经济的预测也出现了较大误差。在此种情况下,一些经济学家为使理论更好地符合现实,将决策过程中的主观因素和心理因素纳入了研究视角,于是20世纪80年代中期逐渐兴起了行为金融(Behavioral Finance)的研究热潮。经过近20年的发展,基于“有限理性”和“有限套利”(有称“非有效市场”)这两个与现代金融理论恰好相反的理论基础,行为金融逐步形成了如下的基本观点:投资者不是理性人,而是普通的正常人;投资者也不是同质的;投资者是损失厌恶型的,而不是风险厌恶型;投资者的风险态度并不是一致的;市场并不是有效的。
作为现代金融中的核心理论之一,现代资产选择理论的研究基础同样建立于现代金融理论基础之上,也不可避免地带有现代金融理论的局限性:即对金融市场上投资者的决策过程进行了理想化假设,在基于理性预期(Rational Expectation)、风险回避(Risk Aversion)、效用最大化等假设基础之上,投资者的决策过程被抽象成为一个追求主观期望效用(SEU)最大化的过程。行为金融的研究表明现代资产选择理论的假设基础并不符合人们的实际决策过程中的心理和行为,理论模型在现实中缺乏可操作性。
改变现代资产选择理论的假设基础,在符合人们决策心理和行为的基础上,研究适合的资产选择模型以满足实际投资应用的需要则成为了一个既有理论意
After 40'year endeavor, modern finance (MF) has been established a suit of integrity theory system( from axiom theories to application theories), which inherit the mainstream economic (especialy Neoclassic Economic) approach and mathematical analysis technology. Many classical theories and models of MF are based on the rational agent suppose and Efficient Market Hypothesis (EMH) put forward by Fama, which research pattern also localized on the analysis frame of complete rationality. Rational agent suppose makes modern finance theories overlook man's concrete decision-making behavior, then decision-making course is turned into a black-box.However, people are quite difficult to live up to complete rationality in the real life. Finance specialists have been encountered many anomalies which cannot be explained by modern finance theories, when they applied the models and approachs of modern finance theories to make empirical tests on finance market. At the same time, finance specialists found there were rather errors when they were applied to forecast economy. Under such situation, in order to make theories more accord with realism, some economist introduced individual' subjective factors and psychology factors into finance study fields. Then, the upsurge of study Behavoral Finance (BF) rised gradually in the later 1980s. After near 20 years development, based on bounded rationality and limits to arbitrage, which are in opposition to modern finance theory, behavioral finance gradually formed its' basic viewpoints: investors are common agent rather are rational agent; investors are not homogenous; investors are loss aversion rather risk aversion; investors' risk attitude are not all consistent; and the market is also not efficient.Among modern finance theories, Modern portofio theory (MPT) is one of the most important theories, which is also based on the basises of modern finance theories. So MPT inevitably have its' localization: investors need only to maxmize their subjective expected utility in their decision-making course, on the assumption that investors' decision-making accord with ideal perfect finance market, namely investors possess such characters as rational expectation, risk aversion and utility maximum. Researches in behavioral finance indicate that hypothesis basises of
modern portfolio theories do not accord with people's real decision-making psychology and behavior, and it is short of maneuverability.Based on according with people' decision-making psychology and behavior, it becomes an important task to study suited portfolio model to meet the needs of real invest application through change the hypothesis basises of MPT. Shefrin and Statman has made some valuable explore along such derection. We first suppose that investors can make good forecast for future and they violate Expected Utility Theory on the risk choose and risk judgement. Then based on those exited research fruits of BF and different risk measurement, and through combining BF with MPT, we present some behavioral portfolio models which can give investors better guidance for their real invest decision-making. The main research contents are as follows:1. The main theories accomplishment and basic viewpoints of MF are summarized. The challenge to MF from BF and basic viewpoints of BF are discussed briefly. The development history of MPT are also summrized ,and sum up the latest thoughts on MPT. We definitely bring forward that the development of finance should be combined BF research with MF research.2. The development historal of behavioral finance are summarized detailedly and the study system of BF are sum up generally.3. Aimed at such characters as losses aversion and reference-point setup which investors possess, setting out from the notion of variance risk, we put forward the mean-value variance model, the mean-subjective value variance model and mean-double target value variance model. We also discuss the utility function form of mean-value variance model and prove that the two fund separation theorem holds in the market when all investors adopt the same invest behavior.4. Based on deviation risk measurement, we bring forward a new risk meansureindex, namely value deviation , and put forward mean-absolute value deviation model and mean-maximize value deviation model, we also introduce such notion as return trade-off factor into the upper two model to improve them, which were put forward in decision-making science field, finally, on the assumpion that there are the same reference point for all the security, we present some portfolio models in which can be applied SP/A theory and vulue function.5. Introducing return balance factor, we substitute value deviation for return
引文
[1] Alexander G, Baptism A. Value at risk and mean-variance analysis[R]. Working Paper, University of Minnesota, 1999.
[2] Andrew Ang, G. Bekaert and J. Liu. Why stocks may disappoint?[J]NBER Working paper, No.7783, Aug 2002.
[3] Artzner, E, Delbaen, E, Eber, J. M. & Heath, D. Coherent Measures of Risk[J] Mathematical Finance, 10(11)1997a, pp.68-71
[4] Artzner, E, Delbaen, E, Eber, J.M. & Heath, D. Thinking Coherently. Risk, 10(11)1997b, pp.68-71
[5] Atkinson C and Al-Ali B. On an investment-consumption model with transaction costs: an asymptotic analysis.[J]Applied Mathematical Finance, 1997,4: 109-113.
[6] Bajeux-Besnainou I., Portait R., Dynamic asset allocation in a mean variance framework[J] Management Science. 44(1998):Part 2. S79-S95
[7] Balakrishna S H., On a Generalized Stein Estimator of Regression Coefficients.[J] Communications Statist Theory Method, 1988(6): 1741～1746
[8] Banz R., The relation between return and market value of common stocks.[J]Journal of Financial Economics. 9(1981): 3～18
[9] Barber B.M., Odean T., Boys will be boys: gender overconfidence, and common stock investment. Working Paper. University of California at Davis.
[10] Barberis N., Thaler R., A survey of behavioral finance. NBER. Working Paper. 2002
[11] Barbers N., Thaler R., A Survey of Behaviora Finance[J]. Working Papeor August 2001.
[12] Basak, S. and A. Shapiro, Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices[J]The Review of Financial Studies. 14(2)2001, pp. 371-405
[13] Bawa S Vijay. Optimal rules for ordering uncertain prospects[J]Journal of Financial Economics. 1975(2):95～121.
[14] Bell R., Cover T M. Game-theoretic optimal portfolios[J]Management Science, 1988,34:724-733
[15] Benartzi S., Thaler R.H., Myopic loss aversion and the equity premium puzzle[J] Quarterly Journal of Economics. 110(1995): 73-92
[16] Black F. and M. S. Scholes. The pricing of options and corporate liabilities[J] Journal of Political Economy. 1973;81,637～654.
[17] Blum A., Kalai A., Universal portfolios with and without transaction costs[A] Proceedings of the Tenth Annual Conferenceon Computational Learning Theory[C]. ACM Press. 1997.309-313.
[18] Bradley M. Interfirm tender offs and the market for corporate control[J]Journal of Business. 53(1980): 345～376
[19] Brav, Alon and Heaton, Competing theories of financial anomalies.[J] Review of Financial Studies. 15(2002)575～606
[20] Burrell O. K., Possibility of an experimental approach to investment studies[J]Journal of Finance. 6(1951): 211-219
[21] Cai X., Teo K., Yang X., Zhou X. Y., Portfolio optimization under a minimax rule[J]Management Science. 46(2000)957～972.
[22] Campbell R., Ronald H., Kees Koedijk. Optimal portfolio selection in a Value-at-Risk framework[J]Journal of Banking & Finance. 2001;25, 1789～1804.
[23] Chopra N., Lakonishok J. and Jay R. Ritter. Measuring abnormal performance: Do stocks overreact?[J]Journal of Fiancial Economics. 31(1992)235～268.
[24] Chunhachinda P, Dandapani K, Hamid S, et al. Portfolio selection and skewness: evidence from internatinal stock markets.[J] Journal of Banking and Finance, 1997, 21: 143-167.
[25] Cover T M. Univesal portfilios[J] Mathematical Finance, 1991. 1: 1—29
[26] Cover T.M., Ordentlich E., Universal portfolios with side information[J]IEEE Transactons on Information Theory. 1996(12):348-363
[27] Dachraoui K. and Georges Dionne. Stochastic dominance and optimal portfolio[J]Economic Letters. 2001 ;71,347～354.
[28] Daniel K., Hirshleifer D., Subrahmanyam A., Overconfidence, arbitrage, and equilibrium asset pricing. [J]Joumal of Finace. 2001(3): 921-965
[29] Daniel, K., D. Hirshleifer and A. Subrahmanyam. Overcondifence, arbitrage and equilibrium asset pricing. [J] Journal of Finance. 3(2001)921—965.
[30] Davis M H A, Norman A R. Portfolio selection with transaction costs [J] Mathematics of Operations Research, 1990,15(4):676-713.
[31]De Bondt W.F.M. and Thaler R. Does the stock market overreact?[J]Journal of Finance. 1985; 40: 793-805.
[32]Dennis W. J., Kees G. K. and Casper G.. de Vries. Portfolio selection with limited downside risk [J] Journal of Empirical Finance. 2000;7,247-269.
[33]Divid Fielding, L. Stracca. Mopicloss aversion, disappointment aversion, and the equity premium puzzle[ J]European Central Bank Working Paper Series, No 203. Jan, 2003
[34]Dyer J.S., Jia J., Relative Risk-value models[J].European Journal of Operational Research 103(1997)170-185.
[35]Elton E. J. and Martin J. Gruber. Modern portfolio theory, 1950 to date [J] Journal of Banking & Finance 1997;21,1743-1759.
[36]Elton G. McGoun and Tatjana Skubic. Beyond Behavioral Finance[J] The Journal of Psychology and Financial Markets. 2(2000) 135-144
[37]Embrechts P., McNeil A., Straumann D., Correlation and Dependency in risk management: properties and pitfalls [R]. Working Paper, Zurich University, 1999.
[38]Fama E., Market efficiency, long-term returns, and behavioral finance [J]Joumal of Financial Economics. 1998(49):283-306
[39]Fama E.F., Efficient capital markets II [J] Journal of Finance. 46( 1991): 1575-1617
[40]Fama E.F., French K.R.,The Cross section of expected stock returns [J]Journal of Finance 47(1992).
[41]Fama, E. F. Efficient Capital Markets: A Review of Empirical Work [J] Journal of Finance. 25(1970):383-417
[42]Fama. E.F. The behavior of stock prices [J]Journal of Business. 1965;37(1), 34-105.
[43]Fishburn P.C., Mean-risk analysis with risk associated with below target returns [J] American Economic Review. 67(1977): 116-126______________________
[44] Fishburn, P.C. and G. A. Kochenberger, Two-piece von Neumann-Morgenstern Utility Functions[J] Decision Sci. 10(1979)503～518
[45] French K. R.. Poterba J. M., Investor diversification and international equity markets.[J] American Economic Review. May1991
[46] Friedman M.. Savage L.J., The utility analysis of choices involving risk[J] Journal of Political Economy. 56(1948):279～304
[47] Ghezzi L L. A maximin policy for bond management.[J] European Journal of Operations Research. 1999, 114: 389-394.
[48] Gregory Curtis. Modem Portfolio Theory and Behavioral Finance[J] The Journal of Wealth Management. Fall. 2004.
[49] Hadar J. and Russell W. Rules for ordering uncertain prospects[J]American Economic Review. 1969; 59(1): 25～34.
[50] Harlow. W. V. Asset Allocation in a Downside-Risk Framework[J]Financial Analysts Journal 1991:47, 5; 28～40.
[51] Haugen R.A. The inefficient stock market[M]New Jersey: Prentice Hall, 1999
[52] Hawawini G., Keim D.. The Gross Section of Common Stock Returns: A Review of the Evidence and some New Findings. Working Paper. University of Pennsylvania. 1998
[53] Hellwig K. Interternporal choice reexamined[R]. Discussion Papers in Economics, University of Ulm, 1993.
[54] Helmbold D., Schapire R., Singer Y., Warmuth M., On-line portfolio selection using multiplicative updates[J] Mathematical Finance. 1998(8): 325-347.
[55] Hens T. Schenk-Hopp K.R. An Evolutionary Portfolio Theory. working paper. 2001
[56] Hiroshi Konno., Portfolio Optimization of Small Scale Fund Using Mean-Absolute Deviation Model[J]International Journal of Theoretical and Applied Finance 4(2003) 403～418
[57] Hirshleifer. Investor psychology and asset pricing[J]Journal of Finance. 2001(4)
[58] Hirshleifer. J. Investment decision under uncertainty: applications of state-preference approach.[J] Quarterly Journal of Economics. 1966; 80, 252～277.
[59]Hoel, J. van der and Michael Sherris. A class of non-expected utility risk measures and implications for asset allocation[J]Insurance: Mathematics and Economics. 2001 ;28, 69-82.
[60]Hoerl A E, Kennard, R. W. , Ridge Regression, Application for Nonorthogonal Problem. [J] Technometrics. 1970(12):69~72
[61] Hubert Fromlet.Behavioral finance theory and practical application[J]Business Economics. July 2001.63-69
[62]Jack L. Treynor and Fischer Black. How to Use Security Analysis to Improve Portfolio Selection [J]The Journal of Business. 1973;46(1), 66-86.
[63] James C, Some evidence on the uniqueness of bank loans [J] Journal of Financial Economics. 19(1987): 217-236
[64]Jamshidian F. A symptotically optimal portfolios [J]. Mathematical Finance, 1992,2(2): 131-150.
[65]Jegadeesh N. and Titman S.,Cross-Sectional and Time-Series Determinants of Momentum Returns. [J] Review of Financial Studies. 1(2002) 143-157.
[66]Jegagdeesh N., Titman S., Returns t buying winners and selling losers: implications for stockmarket efficiency [J]Journal of Finance. 48(1993): 65-91
[67] Jensen M.C., Ruback R., The market for corporate control: the scientific evidence [J]Journal of Financial Economics 11(1983): 5-50
[68] Jensen, M. C, Meckling W., Theory of the firm: Managerial behavior, agency costs and ownership structure [J] Journal of Financial Economics 3 (1976) :305-360
[69] Jia J. and J.S. Dyer, A Standard measure of risk and risk-value models[J]. Management Science 42( 1996) 1691 -1705.
[70] Jia J., J.S. Dyer and John C, Generalized Disappointment Models[J] Journal of Risk and Uncertainty, 22:!(2001)59-78.
[71]Jorion P. Mean-variance analysis of currency overlays[J]Financial analysis Journal. 1994;50(May/June):48~56.
[72]Jun Liu, F. A. Longstaff and J. Pan. Dynamic Asset Allocation with Event Risk[J] The Journal of Finance. 1( 2003 )231-259
[73] Kahneman D. and Amos Tversky, Choices, Values, and Frames[J].American Psychologist 39(1984)341～350.
[74] Kahneman D., Amos Tversky, Prospect Theory: An Analysis of Decision under Risk[J]. Econometrica 47:2 (1979)263～291
[75] Kahneman D., and D. Lovallo. Timid choices and bold forecast: A cognitive perspective on risk taking[J] Management Science. 39(1993); 17～31
[76] Kalmeman D., Riecpe M. W., Aspects of Investor Psychology[J]Journal of Portfolio Management, Vol.24No.4.Summer1998.
[77] Kamara. A. Liquidity, taxes, and short-term treasury yields[J]Journal of Financial and Quantitative Analysis. 1994; 29:403～417.
[78] Kast R, Luciano E, Peccati L. Value-at-risk as a decision criterion[R].Working Paper, University of Turin,1999.
[79] Keim D.B., Size related anomalies and stock return seasonalities: further empirical evidences[J] Journal of Financial Economics. 12(1983): 13～22
[80] Kenyon C.M., Savage S., Ball B..Equivalence of linear deviation, about the mean and mean absolute deviation about the mean objective functions[J] Operations Research Letters 24 (1999) 181～185
[81] Konno H, Yamazaki H. Mean-variance deviation portfolio optimization model and its applications to Tokyo stock market[J]Management Science. 1991, 37(5) :519～531
[82] Konno H., Piecewise linear risk function and portfolio optimization[J]J. Oper. Res. Soc. Japan 33 (1990) 139～156.
[83] Konno H. and Suzuki K. A mean-variance-skewness optimization modeL[J] Journal of the Operations Research Society of Japan, 1995, 38:137-187.
[84] Konno H., Portfolio Optimization using L_1 Risk Function. IHSS Report 88-9, Inst. of Human and Social Sciences. Tokyo Institute of Technology, (September 1988).
[85] Korn R. Optimal portfolios: stochastic models for optimal investment and risk management incontinuous time[M]. Singapore: World Scientific Publsihing Co.Pte.Ltd.,1997.
[86] Korn. R. Value preserving portfolio strategies in continuous-time models[J].Mathematical Methods of Operations Research,1997,45(1): 1-43.
[87] Lakonishok J., Shleifer A. and Vishny R.W.. The structure and performance of the money management industry. Brookings Paper on Economic Activity Microeconomic. 1992:339～391.
[88] Levy A., Livingstion M.,The gains from divesification reconsidered: Transaction Costs and Superior information, Financial Markets, Institution &Instruments[M New York: University Salomon Center, 1995.
[89] Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]Review of Economics and Statistics. 47(1965):13～37
[90] Lintner. J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]Review of Economics and Statistics. 1965; 47, 13～37.
[91] Longstaff. F.A. Optimal portfolio choice and the valuation of illiquid securities[J].Review of Financial Studies. 2001;14(2):407～431.
[92] Lopes L. Between hope and fear: the psychology of risk[J]Advances in Experimental Social Psychology. 1987;20:255～295.
[93] Mao J C T. Models of capital budgeting, E-V vs E-S.[J]Journal of Financial and Quantitive Analysis, 1970, 5: 657-675.
[94] Markowitz H. Portfolio selection.[J]. Journal of Finance, 7 (1952)77～91.
[95] Markowitz H. Portfolio Selection: Efficient Diversification of Inverstments (2nd Edition in 1991). New York: Basil Blackwell, 1959.
[96] Marquardt D W., Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation.[J] Technometrics, 1970(12), 591～612
[97] Massy W F., Principal Component Regression in Exploratory Statistics Research.[J] JASA, 1965 (60): 234～266
[98] Mehra R., Prescott E. C., The equity premium: a puzzle[J] Journal of Monetary Economics. 15(1985): 145～162
[99] Meir Statman. Foreign stocks in behavioral portfolios[J] Financial Analysts Journal; Mar/Apr; 2(1999) 12～16;
[100] Merton R. C. Lifetime portfolio selection under uncertainty: the continuous-time case[J] Review of Economics and Statistics. 1969, 51: 247～257.
[101] Merton R. C. Optimum consumption and portfolio rules in a continuous-time model[J] Journal of Economic Theory. 1971,3:373～413.
[102] Merton. R.C. Theory of Rational Option Pricing[J] Bell Journal of Economics and Management Science. 1973; 4(1), 141～183.
[103] Modigliani F. and M. H. Miller. The cost of capital, corporate finance and the theory of investment.[J]American Economic Review. 1958; 48, 262～297.
[104] Morton A and Pliska S. Optimal portfolio management with fixed transaction costs.[J] Mathematical Finance, 1995, 5(4): 337-356.
[105] Mossin. J. Equilibrium in a capital asset market[J]Econometrica. 1966; 34,768～783.
[106] Nicholas Barberis and Huang M., Mental accounting, loss aversion and individual stock returns.[J] The Journal of Finance. 4 (2001) 1247～1292
[107] Odean T. Are Investment Reluctant to Realize their Losses[J]Journal of Finance. 1998;56: 1053～1073.
[108] Odean T. Are Investors Reluctant to Realize Their Losses?[J].The Journal of Finance. October1998.
[109] Odean T. Do Investors Trade Too Much?[J].American Economic Review, December 1999, 89, 1279—1298.
[110] Olsen R. A., Behavioral Finance and its Implications for Stock-Price Volatility[J]Financial Analyst Journal. March/Aprill(1998). 10～18.
[111] Ortobelli S. L. and S.T. Rather. Safety-First Analysis and Stable Paretian Approach to Portfolio Choice Theory[J]Mathematical and Computer Modeling 2001;34,1037～1072.
[112] Peter Byrne and Stephen Lee. The impact of market risk on property portfolio risk reduction[J]Journal of Property Investment & Finance 2000;18(6),613～626.
[113] Poterba J. M. and Summers L. H.. Mean reversion in stock prices: Evidence and implications.[J]Journal of Financial Economics. 1 (1988)27～59.
[114] Ritter J.R., The long performance of initial public offerings[J] Journal of Finance. 46(1991):3-27
[115] Roll. R. A Critique of the Asset Pricing Theory's Tests. [J]Journal of Financial Economics, 1977; 3,129-176.
[116] Ross, S.A. The determination of financial structure: the incentive-signaling approach [J]Bell Journal of Economics and Management Science. 8(1977): 23-40
[117] Ross. S. A. Arbitrage theory of capital pricing [J] Journal of Economic Theory. 1976;13,341 -360.
[118] Rouvenhorst K.G.. International momentum strategies. [J]Journal of Finance. 53(1998) 460-478.
[119] Roy, A.D. Safety-First and the holding of assets [J]Econometrica, 20,(1952), 431-449.
[120] Rozeffand Kinney, Capital market seasonality: the case of stock returns [J] Journal of Financial Economics. 3(1976):3 79-402
[121] Rubinstein M., Rational market: yes or no? The affirmative case [J] Financial Analysis Journal. 57(2001)
[122] Russell J. F. Behavioral Finance and the Sources of Alpha [J] Journal Of Pension Plan Investing, Winter 1998, V01.2, No.3.
[123] Russell J.F., Behavioral Finance and The Sources of Alpha. CFA. February.
[124] Sclove SL, Improved Estimators for Coefficients in Linear Regression. [J] JASA, 1968(63):597-606
[125] Sengupta J K. Portfolio decisions as games[3] International Journal Systems Science, 1989,20: 1323-1334
[126] Sharpe W F. A Simplified Model of Portfolio Analysis. Management Science, 1963(1):277~293
[127] Sharpe. W. Capital asset prices: a theory of market equilibrium under condition of risk [J] Journal of Finance. 1964; 19, 425-442.
[128] Shefrin H. and M. Statman. Explaining investor preference for cash dividends. [J]Journal of Financial Economics. 1984; 13: 253-282.
[129] Shefrin H. and Statman M. Behavioral Capital Asset Pricing Theory[J] Journal of Financial and Quantitative Analysis. 1994;29: 323-349.
[130] Shefrin H. and Statman M. Behavioral portfolio theory [J] Journal of Financial and Quantitative Analysis. 2000; 35(2): 127～151.
[131] Shefrin H., Thaler R.H., The Behavioral life-cycle hppothesis[J] Economic Inquiry. Reprinted in Thaler R.H., Quasi Rational Economics.
[132] Shiller J.R., Do stock prices move too much to be justified by subsequent changes in dividends?[J] American Economic Review. 71 (1981): 421～436
[133] Shiller J.R., From efficient market theory to behavioral finance. Working Paper. 2002
[134] Shiller J.R., The volatility of long terminterest rates and expectations models of the term-structure[J] Journal of Political Economy. 87(1979): 1190～1219
[135] Shiller R., Conversation, Information and Herd Behavior[J] American Economic Review. 85(1990a): 181-185
[136] Shiller R., Speculative prices and popular models[J] Journal of Economic Perspectives. 42(1990b): 55-65
[137] Siegel J.J., The perfect witness.[J]Ballantine Books, New York. 1998
[138] Simaan Y. Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model.[J] Management science. 1997, 43: 1437-1446.
[139] Slovic P. Analyzing the expert judge: A study of a stockbroker 抯decision process[J]Journal of Applied Pshchology. 1969;27:255～263.
[140] Slovic P. Psychological study of human judgment: Implications for investment decision making[J]Journal of Finance. 1972;27:779～801.
[141] Statman M. Foreign stocks in behavioral[J]Financial Analysts Journal. 1999;55(March/April): 12～16.
[142] Stein C. Multiple Regression in Contributions to Probability and Statistics: Essays in Honor of Haroid Hotelling. Olkin, Stanford University,1960
[143] Tanaka H, Peijun G, Trksen I B. Portfolio selection based on fuzzy probabilities and possibility distributions[J] Fuzzy Sets and Systems, 2001, 111: 387—397.
[144] Thaler R. Mental Accounting Matters[J] Journal of Behavioral Decision Making.12(1999):183～206
[145] Thaler R. H., Advances of Behavioral Finance. New York: McGraw Hill. 1993
[146] Thaler R.H., Mental Accounting Matters[J]Journal of Behavioral Decision Making. 1999;12:183～206.
[147] Thaler R.H., Seasonal movements in security prices Ⅱ: weekend, holiday, turn of the month and intra-day effects[J]Journal of Economic Perspectives. 45(1987): 169-177
[148] Tobin J. Liquidity preference as behavior towards risk[J]Review of Economic Studies. 1958; 25, 65～86.
[149] Tversky A and Kahneman D. Rational choice and the framing of decisions[J] Journal of Business. 1986,59: S251～S278.
[150] Tversky A., Kahneman D. Judgement under uncertainty: Heuristics and biases[J]Scienee. 1974;185:1124～1131.
[151] Tversky A., Kahneman D. Advances in Prospect Theory: Cumulative Representation of Uncertainty,[J] Journal of Risk and Uncertainty, 1992,5,297～323
[152] Uri Benzion and Joseph Yagil. Portfolio Composition Choice: A Behavioral Approach[J] The Journal of Behavioral Finance 4:2(2003)85～95
[153] Young M R., A Minimax Portfolio Selection Rule with Linear Programming Solution[J] Management Science,44(1998)673～683.
[154] Zweig M.E., An investor expectations stock price predictive model suing closed-end fund premiums[J] Journal of Finance. Mar 1973
[1] 陈华友.王居平.证券组合投资的动态模型研究[J]工科数学.2001(3):16-20.
[2] 陈金龙.张维.CvaR与投资组合优化统一模型[J]系统工程理论方法应用.2002(1):68～71.
[3] 陈收.邓小铁.汪寿阳.刘卫国.资本结构变化对组合投资有效边界的影响[J]中国管理科学.2001(1):6～11.
[4] 陈收.邓小铁.汪寿阳.刘卫国.资本结构变化对组合投资有效边界的影响[J]中国管理科学.2001(1):6～11.
[5] 陈收.杨宽.廖韶.雷辉.证券市场中股票成交量对投资组台优化的影晌[J]管理科学学报.2002(5):6～10.
[6] 陈收著.行为金融理论与实证[M]湖南大学出版社.2004年6月第一版.
[7] 范宝珠.滕成业.朱庆华.非负约束下含无风险证券的投资组合方法[J]中山大学学报(自然科学版)2001(3):25～28.
[8] 郭存芝.一种证券组合投资的模糊多目标规划方法[J]系统工程理论与实践.2001(1):21～30.
[9] 郭晓亭.蒲勇键.林略.风险概念及其数量刻画[J]数量经济技术经济研究.2004(2):111～115.
[10] 郭晔.行为金融理论发展评介——当前行为金融发展存在自我局限[J]经济科学.2003(3):91～97.
[11] 韩其恒.唐万生.梁建峰.允许卖空情况下证券投资组合的概率准则模型[J]系统工程学报.2003(4):289～293.
[12] 何宜庆.王浣尘等.E—Sh风险下的证券组合投资多目标决策模型[J]系统工程学报.2001(1):66～71
[13] 黄兴旺.行为金融理论评述[J]经济学动态.2000(8)
[14] 胡昌生.丰赋.基于心理会计的投资选择[J]数量经济技术经济研究.2003(5):120～123.
[15] 胡国政.李楚霖.考虑交易费用的证券组合投资的研究[J]预测,1998(5):33～36.
[16] 胡海鹏.方兆本.投资组合VAR及其分解[J]中国管理科学.2003(3)1～5.
[17] 蒋殿春著.现代金融理论[M]上海人民出版社.2001年11月第一版.
[18] 蒋晓阳.风险度量理论综述[J].世界经济.1～5.
[19] 贾建民.行为经济学和决策制订棗 2002年度诺贝尔经济科学奖评论之一[J]中外管理导报.2002(10):5～8.
[20] 李仲飞.汪寿阳.EaR风险度量与动态投资决策[J]数量经济技术经济研究.2003(1):45～51.
[21] 廖懿.陈收.杨宽.成交量对证券组合投资有效边界影响的实证分析[J]数量经济技术经济研究.2001(7):85～88.
[22] 林辉.何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型[J]财贸经济.2003(12):46～49
[23] 林军.具有模糊系数的证券组合投资选择模型[J]系统工程理论方法应用.2002(1):72～76
[22] 林辉.何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型[J]财贸经济.2003(12):46～49
[23] 林军.具有模糊系数的证券组合投资选择模型[J]系统工程理论方法应用.2002(1):72～76
[24] 刘海龙,樊治平,潘德惠.带有固定交易费用的证券投资最优策略[J]管理科学学报,1999,2(4).
[25] 刘海龙,孔良,潘德惠.具有固定交易费用的证券投资最优策略[J]预测,1999,28(2),23～27.
[26] 刘海龙、吴冲锋.证券投资决策的二阶段动态分析法[J]系统工程理论与实践.2000.9,9～13
[27] 刘海龙.郑立辉.樊治平.潘德惠.证券投资决策的微分对策方法研究[J].系统工程学报.1999;18(1):69～72.
[28] 刘海龙.郑立辉.吴冲锋.现代金融理论的进展综述[J]系统工程理论与实践.2001;1:14～20.
[29] 刘力.行为金融理论对效率市场假说的挑战[J]经济科学.1999(3):63～71.
[30] 刘善存.邱菀华.汪寿阳.带交易费用的泛证券组合投资策略[J]系统工程理论与实践.2003;1:22～25.
[31] 刘善存.汪寿阳.邱菀华.一个证券组合投资分析的对策论方法[J].系统工程理论与实践.2001;5:88～92.
[32] 刘小茂.李楚霖.王建华.风险资产组合的均值—CvaR有效前沿[J]管理工程学报.2003(1):29～32.
[33] 刘志新.牟旭涛.投资组合最大损失最小化模型研究[J]系统工程理论与实践.2000(12)22～25.
[34] 刘志阳,国外行为金融理论述评[J]经济学动态.2002.3
[35] 柳宏珠.郭晓斌.王海民.证券投资组合优化模型的进一步研究[J]运筹与管理.2003(1):70～73
[36] 李仲飞.汪寿阳著.投资组合优化与无套利分析[M]科学出版社.2001年5月第一版.
[37] 罗洪浪.王浣臣.现代投资组合理论的新进展[J]系统工程理论方法应用.2002(3)185～189.
[38] 罗秋兰.陈有禄.具有交易成本的证券组合投资决策研究[J]应用数学.2003.16(1):55～58
[39] 买忆媛、乔俊杰.多因素环境下的投资组合理论[J]西南民族学院学报(自然科学版).2001(1):45～48
[40] 马永开.唐小我.多因素证券组合投资决策模型[J]预测.1998(5):62～65
[41] 马永开.唐小我.限制性卖空条件下β值证券组合投资决策模型[J]系统工程学报.2001(2):81～87
[42] 马永开.唐小我.行为证券组合投资决策方法研究[J]系统工程学报.2003(1):71～76.
[43][美]安德瑞·史莱佛著.赵英军译效.并非有效的市场——行为金融学导论[M]中国人民大学出版社.2003年6月第一版.
[44][美]哈里·H·马科维茨著.刘军霞.张一驰译.资产选择——投资的有效分散化(第二版)[M]首都经济贸易大学出版社.2000年3月第一版.
[45][美]哈里·H·马科维茨著.朱菁.欧阳向军译.资产组合选择和资本市场的均值——方差分析[M]上海人民出版社.1999年5月第一版.
[46][美]凯恩斯著.徐毓丹译:就业利息货币通论,商务印书馆1963年版.
[47][美]斯坦利·R·普利斯卡著.王忠玉译.数理金融学引论——离散时间模型[M]经济科学出版社.2003年3月第一版.
[48][美]威廉·F·夏普著.胡坚译.投资组合理论与资本市场[M]机械工业出版社,McGraw-Hill出版社.2001年3月第一版.
[49][美]滋维·博迪.亚历克斯·凯恩.艾伦J.马库斯著.朱宪宝.吴洪.赵冬青等译.投资学(第四版)[M]机械工业出版社,McGraw-Hill出版社.2000年5月.
[50] 缪琳,姚俭.摩擦市场的投资决策模型研究[J]上海理工大学学报.2003.1 54～57.
[51] 秦学志.吴冲锋.模糊随机风险偏好下的证券投资组合选择方法[J]管理科学学报.2003(4):73～76.
[52] 饶育蕾.刘达锋著.行为金融学[M]上海财经大学出版社.2003年5月第一版.
[53] 容喜民.张奎庭.王晨亮.李践.有交易成本的证券投资研究[J]系统工程学报.2003(3):198～202.
[54] 首届“行为金融学与资本市场”学术研讨会论文集,2003年11月29日——11月30日,南京.
[55] 宋逢明著.金融工程原理——无套利均衡分析[M]清华大学出版社.1999年10月第一版.
[56] 唐小我.潘景铭.不允许卖空条件下组合证券投资有效边界的确定方法[J]预测.1995(5):53～56.
[57] 田军.黄登仕.郭耀煌.多因素组合投资最优决策的加权集成方法[J]系统工程理论与实践.2001(8):87-91.
[58] 屠新曙.王春峰.最佳均值—VAR投资组合问题的研究[J]湘潭大学自然科学学报.2002(2):13～17.
[59] 汪贵浦.王明涛.Harlow下偏矩证券组合优化模型的求解方法研究[J]系统工程理论与实践.2003(6):42～47.
[60] 薛求知.黄佩燕.鲁直.张晓蓉著.行为经济学——理论与应用[M]复旦大学出版社.2003年11月第一版.
[61] 徐绪松.陈彦斌.绝对离差证券组台投资模型及其模拟退火算法[J]管理科学学报.2002(3):79～85.
[62] 徐绪松.杨小青.陈彦斌.半绝对离差证券组合投资模型[J]武汉大学学报(理学版).2002(3):297～300.
[63] 杨德权、杨德礼、胡运权.动态组合证券投资决策非线性递推规划模型[J]大连理工大学学报.2000(5):625～630.
[64] 杨晓光.马超群.文风华.VaR之下厚尾分布的最优资产组合的收敛性[J]管理科学学报.2002(1).65～69.
[65] 杨云红著.金融经济学[M]武汉大学出版社.2000年4月第一版.
[66] 袁军鹏、宿洁.个人消费—投资多阶段决策模型[J]中国管理科学.2003(5):12～15.
[67] 余运洋.吴健中.投资组合理论与资产运行模型综述[J]管理工程学报.1997(1):60～68.
[68] 张新.中国金融学面临的挑战和发展前景[J]金融研究.2003(8):36～44.
[69] 张兵.行为金融理论述评及其在中国股市的应用[J]经济管理.新管理.2002(22):86～91.
[70] 张卫国、谢建勇、聂赞坎.不相关证券组合有效集的解析表示及动态分析[J]
[2] Andrew Ang, G. Bekaert and J. Liu. Why stocks may disappoint?[J]NBER Working paper, No.7783, Aug 2002.
[3] Artzner, E, Delbaen, E, Eber, J. M. & Heath, D. Coherent Measures of Risk[J] Mathematical Finance, 10(11)1997a, pp.68-71
[4] Artzner, E, Delbaen, E, Eber, J.M. & Heath, D. Thinking Coherently. Risk, 10(11)1997b, pp.68-71
[5] Atkinson C and Al-Ali B. On an investment-consumption model with transaction costs: an asymptotic analysis.[J]Applied Mathematical Finance, 1997,4: 109-113.
[6] Bajeux-Besnainou I., Portait R., Dynamic asset allocation in a mean variance framework[J] Management Science. 44(1998):Part 2. S79-S95
[7] Balakrishna S H., On a Generalized Stein Estimator of Regression Coefficients.[J] Communications Statist Theory Method, 1988(6): 1741～1746
[8] Banz R., The relation between return and market value of common stocks.[J]Journal of Financial Economics. 9(1981): 3～18
[9] Barber B.M., Odean T., Boys will be boys: gender overconfidence, and common stock investment. Working Paper. University of California at Davis.
[10] Barberis N., Thaler R., A survey of behavioral finance. NBER. Working Paper. 2002
[11] Barbers N., Thaler R., A Survey of Behaviora Finance[J]. Working Papeor August 2001.
[12] Basak, S. and A. Shapiro, Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices[J]The Review of Financial Studies. 14(2)2001, pp. 371-405
[13] Bawa S Vijay. Optimal rules for ordering uncertain prospects[J]Journal of Financial Economics. 1975(2):95～121.
[14] Bell R., Cover T M. Game-theoretic optimal portfolios[J]Management Science, 1988,34:724-733
[15] Benartzi S., Thaler R.H., Myopic loss aversion and the equity premium puzzle[J] Quarterly Journal of Economics. 110(1995): 73-92
[16] Black F. and M. S. Scholes. The pricing of options and corporate liabilities[J] Journal of Political Economy. 1973;81,637～654.
[17] Blum A., Kalai A., Universal portfolios with and without transaction costs[A] Proceedings of the Tenth Annual Conferenceon Computational Learning Theory[C]. ACM Press. 1997.309-313.
[18] Bradley M. Interfirm tender offs and the market for corporate control[J]Journal of Business. 53(1980): 345～376
[19] Brav, Alon and Heaton, Competing theories of financial anomalies.[J] Review of Financial Studies. 15(2002)575～606
[20] Burrell O. K., Possibility of an experimental approach to investment studies[J]Journal of Finance. 6(1951): 211-219
[21] Cai X., Teo K., Yang X., Zhou X. Y., Portfolio optimization under a minimax rule[J]Management Science. 46(2000)957～972.
[22] Campbell R., Ronald H., Kees Koedijk. Optimal portfolio selection in a Value-at-Risk framework[J]Journal of Banking & Finance. 2001;25, 1789～1804.
[23] Chopra N., Lakonishok J. and Jay R. Ritter. Measuring abnormal performance: Do stocks overreact?[J]Journal of Fiancial Economics. 31(1992)235～268.
[24] Chunhachinda P, Dandapani K, Hamid S, et al. Portfolio selection and skewness: evidence from internatinal stock markets.[J] Journal of Banking and Finance, 1997, 21: 143-167.
[25] Cover T M. Univesal portfilios[J] Mathematical Finance, 1991. 1: 1—29
[26] Cover T.M., Ordentlich E., Universal portfolios with side information[J]IEEE Transactons on Information Theory. 1996(12):348-363
[27] Dachraoui K. and Georges Dionne. Stochastic dominance and optimal portfolio[J]Economic Letters. 2001 ;71,347～354.
[28] Daniel K., Hirshleifer D., Subrahmanyam A., Overconfidence, arbitrage, and equilibrium asset pricing. [J]Joumal of Finace. 2001(3): 921-965
[29] Daniel, K., D. Hirshleifer and A. Subrahmanyam. Overcondifence, arbitrage and equilibrium asset pricing. [J] Journal of Finance. 3(2001)921—965.
[30] Davis M H A, Norman A R. Portfolio selection with transaction costs [J] Mathematics of Operations Research, 1990,15(4):676-713.
[31]De Bondt W.F.M. and Thaler R. Does the stock market overreact?[J]Journal of Finance. 1985; 40: 793-805.
[32]Dennis W. J., Kees G. K. and Casper G.. de Vries. Portfolio selection with limited downside risk [J] Journal of Empirical Finance. 2000;7,247-269.
[33]Divid Fielding, L. Stracca. Mopicloss aversion, disappointment aversion, and the equity premium puzzle[ J]European Central Bank Working Paper Series, No 203. Jan, 2003
[34]Dyer J.S., Jia J., Relative Risk-value models[J].European Journal of Operational Research 103(1997)170-185.
[35]Elton E. J. and Martin J. Gruber. Modern portfolio theory, 1950 to date [J] Journal of Banking & Finance 1997;21,1743-1759.
[36]Elton G. McGoun and Tatjana Skubic. Beyond Behavioral Finance[J] The Journal of Psychology and Financial Markets. 2(2000) 135-144
[37]Embrechts P., McNeil A., Straumann D., Correlation and Dependency in risk management: properties and pitfalls [R]. Working Paper, Zurich University, 1999.
[38]Fama E., Market efficiency, long-term returns, and behavioral finance [J]Joumal of Financial Economics. 1998(49):283-306
[39]Fama E.F., Efficient capital markets II [J] Journal of Finance. 46( 1991): 1575-1617
[40]Fama E.F., French K.R.,The Cross section of expected stock returns [J]Journal of Finance 47(1992).
[41]Fama, E. F. Efficient Capital Markets: A Review of Empirical Work [J] Journal of Finance. 25(1970):383-417
[42]Fama. E.F. The behavior of stock prices [J]Journal of Business. 1965;37(1), 34-105.
[43]Fishburn P.C., Mean-risk analysis with risk associated with below target returns [J] American Economic Review. 67(1977): 116-126______________________
[44] Fishburn, P.C. and G. A. Kochenberger, Two-piece von Neumann-Morgenstern Utility Functions[J] Decision Sci. 10(1979)503～518
[45] French K. R.. Poterba J. M., Investor diversification and international equity markets.[J] American Economic Review. May1991
[46] Friedman M.. Savage L.J., The utility analysis of choices involving risk[J] Journal of Political Economy. 56(1948):279～304
[47] Ghezzi L L. A maximin policy for bond management.[J] European Journal of Operations Research. 1999, 114: 389-394.
[48] Gregory Curtis. Modem Portfolio Theory and Behavioral Finance[J] The Journal of Wealth Management. Fall. 2004.
[49] Hadar J. and Russell W. Rules for ordering uncertain prospects[J]American Economic Review. 1969; 59(1): 25～34.
[50] Harlow. W. V. Asset Allocation in a Downside-Risk Framework[J]Financial Analysts Journal 1991:47, 5; 28～40.
[51] Haugen R.A. The inefficient stock market[M]New Jersey: Prentice Hall, 1999
[52] Hawawini G., Keim D.. The Gross Section of Common Stock Returns: A Review of the Evidence and some New Findings. Working Paper. University of Pennsylvania. 1998
[53] Hellwig K. Interternporal choice reexamined[R]. Discussion Papers in Economics, University of Ulm, 1993.
[54] Helmbold D., Schapire R., Singer Y., Warmuth M., On-line portfolio selection using multiplicative updates[J] Mathematical Finance. 1998(8): 325-347.
[55] Hens T. Schenk-Hopp K.R. An Evolutionary Portfolio Theory. working paper. 2001
[56] Hiroshi Konno., Portfolio Optimization of Small Scale Fund Using Mean-Absolute Deviation Model[J]International Journal of Theoretical and Applied Finance 4(2003) 403～418
[57] Hirshleifer. Investor psychology and asset pricing[J]Journal of Finance. 2001(4)
[58] Hirshleifer. J. Investment decision under uncertainty: applications of state-preference approach.[J] Quarterly Journal of Economics. 1966; 80, 252～277.
[59]Hoel, J. van der and Michael Sherris. A class of non-expected utility risk measures and implications for asset allocation[J]Insurance: Mathematics and Economics. 2001 ;28, 69-82.
[60]Hoerl A E, Kennard, R. W. , Ridge Regression, Application for Nonorthogonal Problem. [J] Technometrics. 1970(12):69~72
[61] Hubert Fromlet.Behavioral finance theory and practical application[J]Business Economics. July 2001.63-69
[62]Jack L. Treynor and Fischer Black. How to Use Security Analysis to Improve Portfolio Selection [J]The Journal of Business. 1973;46(1), 66-86.
[63] James C, Some evidence on the uniqueness of bank loans [J] Journal of Financial Economics. 19(1987): 217-236
[64]Jamshidian F. A symptotically optimal portfolios [J]. Mathematical Finance, 1992,2(2): 131-150.
[65]Jegadeesh N. and Titman S.,Cross-Sectional and Time-Series Determinants of Momentum Returns. [J] Review of Financial Studies. 1(2002) 143-157.
[66]Jegagdeesh N., Titman S., Returns t buying winners and selling losers: implications for stockmarket efficiency [J]Journal of Finance. 48(1993): 65-91
[67] Jensen M.C., Ruback R., The market for corporate control: the scientific evidence [J]Journal of Financial Economics 11(1983): 5-50
[68] Jensen, M. C, Meckling W., Theory of the firm: Managerial behavior, agency costs and ownership structure [J] Journal of Financial Economics 3 (1976) :305-360
[69] Jia J. and J.S. Dyer, A Standard measure of risk and risk-value models[J]. Management Science 42( 1996) 1691 -1705.
[70] Jia J., J.S. Dyer and John C, Generalized Disappointment Models[J] Journal of Risk and Uncertainty, 22:!(2001)59-78.
[71]Jorion P. Mean-variance analysis of currency overlays[J]Financial analysis Journal. 1994;50(May/June):48~56.
[72]Jun Liu, F. A. Longstaff and J. Pan. Dynamic Asset Allocation with Event Risk[J] The Journal of Finance. 1( 2003 )231-259
[73] Kahneman D. and Amos Tversky, Choices, Values, and Frames[J].American Psychologist 39(1984)341～350.
[74] Kahneman D., Amos Tversky, Prospect Theory: An Analysis of Decision under Risk[J]. Econometrica 47:2 (1979)263～291
[75] Kahneman D., and D. Lovallo. Timid choices and bold forecast: A cognitive perspective on risk taking[J] Management Science. 39(1993); 17～31
[76] Kalmeman D., Riecpe M. W., Aspects of Investor Psychology[J]Journal of Portfolio Management, Vol.24No.4.Summer1998.
[77] Kamara. A. Liquidity, taxes, and short-term treasury yields[J]Journal of Financial and Quantitative Analysis. 1994; 29:403～417.
[78] Kast R, Luciano E, Peccati L. Value-at-risk as a decision criterion[R].Working Paper, University of Turin,1999.
[79] Keim D.B., Size related anomalies and stock return seasonalities: further empirical evidences[J] Journal of Financial Economics. 12(1983): 13～22
[80] Kenyon C.M., Savage S., Ball B..Equivalence of linear deviation, about the mean and mean absolute deviation about the mean objective functions[J] Operations Research Letters 24 (1999) 181～185
[81] Konno H, Yamazaki H. Mean-variance deviation portfolio optimization model and its applications to Tokyo stock market[J]Management Science. 1991, 37(5) :519～531
[82] Konno H., Piecewise linear risk function and portfolio optimization[J]J. Oper. Res. Soc. Japan 33 (1990) 139～156.
[83] Konno H. and Suzuki K. A mean-variance-skewness optimization modeL[J] Journal of the Operations Research Society of Japan, 1995, 38:137-187.
[84] Konno H., Portfolio Optimization using L_1 Risk Function. IHSS Report 88-9, Inst. of Human and Social Sciences. Tokyo Institute of Technology, (September 1988).
[85] Korn R. Optimal portfolios: stochastic models for optimal investment and risk management incontinuous time[M]. Singapore: World Scientific Publsihing Co.Pte.Ltd.,1997.
[86] Korn. R. Value preserving portfolio strategies in continuous-time models[J].Mathematical Methods of Operations Research,1997,45(1): 1-43.
[87] Lakonishok J., Shleifer A. and Vishny R.W.. The structure and performance of the money management industry. Brookings Paper on Economic Activity Microeconomic. 1992:339～391.
[88] Levy A., Livingstion M.,The gains from divesification reconsidered: Transaction Costs and Superior information, Financial Markets, Institution &Instruments[M New York: University Salomon Center, 1995.
[89] Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]Review of Economics and Statistics. 47(1965):13～37
[90] Lintner. J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]Review of Economics and Statistics. 1965; 47, 13～37.
[91] Longstaff. F.A. Optimal portfolio choice and the valuation of illiquid securities[J].Review of Financial Studies. 2001;14(2):407～431.
[92] Lopes L. Between hope and fear: the psychology of risk[J]Advances in Experimental Social Psychology. 1987;20:255～295.
[93] Mao J C T. Models of capital budgeting, E-V vs E-S.[J]Journal of Financial and Quantitive Analysis, 1970, 5: 657-675.
[94] Markowitz H. Portfolio selection.[J]. Journal of Finance, 7 (1952)77～91.
[95] Markowitz H. Portfolio Selection: Efficient Diversification of Inverstments (2nd Edition in 1991). New York: Basil Blackwell, 1959.
[96] Marquardt D W., Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation.[J] Technometrics, 1970(12), 591～612
[97] Massy W F., Principal Component Regression in Exploratory Statistics Research.[J] JASA, 1965 (60): 234～266
[98] Mehra R., Prescott E. C., The equity premium: a puzzle[J] Journal of Monetary Economics. 15(1985): 145～162
[99] Meir Statman. Foreign stocks in behavioral portfolios[J] Financial Analysts Journal; Mar/Apr; 2(1999) 12～16;
[100] Merton R. C. Lifetime portfolio selection under uncertainty: the continuous-time case[J] Review of Economics and Statistics. 1969, 51: 247～257.
[101] Merton R. C. Optimum consumption and portfolio rules in a continuous-time model[J] Journal of Economic Theory. 1971,3:373～413.
[102] Merton. R.C. Theory of Rational Option Pricing[J] Bell Journal of Economics and Management Science. 1973; 4(1), 141～183.
[103] Modigliani F. and M. H. Miller. The cost of capital, corporate finance and the theory of investment.[J]American Economic Review. 1958; 48, 262～297.
[104] Morton A and Pliska S. Optimal portfolio management with fixed transaction costs.[J] Mathematical Finance, 1995, 5(4): 337-356.
[105] Mossin. J. Equilibrium in a capital asset market[J]Econometrica. 1966; 34,768～783.
[106] Nicholas Barberis and Huang M., Mental accounting, loss aversion and individual stock returns.[J] The Journal of Finance. 4 (2001) 1247～1292
[107] Odean T. Are Investment Reluctant to Realize their Losses[J]Journal of Finance. 1998;56: 1053～1073.
[108] Odean T. Are Investors Reluctant to Realize Their Losses?[J].The Journal of Finance. October1998.
[109] Odean T. Do Investors Trade Too Much?[J].American Economic Review, December 1999, 89, 1279—1298.
[110] Olsen R. A., Behavioral Finance and its Implications for Stock-Price Volatility[J]Financial Analyst Journal. March/Aprill(1998). 10～18.
[111] Ortobelli S. L. and S.T. Rather. Safety-First Analysis and Stable Paretian Approach to Portfolio Choice Theory[J]Mathematical and Computer Modeling 2001;34,1037～1072.
[112] Peter Byrne and Stephen Lee. The impact of market risk on property portfolio risk reduction[J]Journal of Property Investment & Finance 2000;18(6),613～626.
[113] Poterba J. M. and Summers L. H.. Mean reversion in stock prices: Evidence and implications.[J]Journal of Financial Economics. 1 (1988)27～59.
[114] Ritter J.R., The long performance of initial public offerings[J] Journal of Finance. 46(1991):3-27
[115] Roll. R. A Critique of the Asset Pricing Theory's Tests. [J]Journal of Financial Economics, 1977; 3,129-176.
[116] Ross, S.A. The determination of financial structure: the incentive-signaling approach [J]Bell Journal of Economics and Management Science. 8(1977): 23-40
[117] Ross. S. A. Arbitrage theory of capital pricing [J] Journal of Economic Theory. 1976;13,341 -360.
[118] Rouvenhorst K.G.. International momentum strategies. [J]Journal of Finance. 53(1998) 460-478.
[119] Roy, A.D. Safety-First and the holding of assets [J]Econometrica, 20,(1952), 431-449.
[120] Rozeffand Kinney, Capital market seasonality: the case of stock returns [J] Journal of Financial Economics. 3(1976):3 79-402
[121] Rubinstein M., Rational market: yes or no? The affirmative case [J] Financial Analysis Journal. 57(2001)
[122] Russell J. F. Behavioral Finance and the Sources of Alpha [J] Journal Of Pension Plan Investing, Winter 1998, V01.2, No.3.
[123] Russell J.F., Behavioral Finance and The Sources of Alpha. CFA. February.
[124] Sclove SL, Improved Estimators for Coefficients in Linear Regression. [J] JASA, 1968(63):597-606
[125] Sengupta J K. Portfolio decisions as games[3] International Journal Systems Science, 1989,20: 1323-1334
[126] Sharpe W F. A Simplified Model of Portfolio Analysis. Management Science, 1963(1):277~293
[127] Sharpe. W. Capital asset prices: a theory of market equilibrium under condition of risk [J] Journal of Finance. 1964; 19, 425-442.
[128] Shefrin H. and M. Statman. Explaining investor preference for cash dividends. [J]Journal of Financial Economics. 1984; 13: 253-282.
[129] Shefrin H. and Statman M. Behavioral Capital Asset Pricing Theory[J] Journal of Financial and Quantitative Analysis. 1994;29: 323-349.
[130] Shefrin H. and Statman M. Behavioral portfolio theory [J] Journal of Financial and Quantitative Analysis. 2000; 35(2): 127～151.
[131] Shefrin H., Thaler R.H., The Behavioral life-cycle hppothesis[J] Economic Inquiry. Reprinted in Thaler R.H., Quasi Rational Economics.
[132] Shiller J.R., Do stock prices move too much to be justified by subsequent changes in dividends?[J] American Economic Review. 71 (1981): 421～436
[133] Shiller J.R., From efficient market theory to behavioral finance. Working Paper. 2002
[134] Shiller J.R., The volatility of long terminterest rates and expectations models of the term-structure[J] Journal of Political Economy. 87(1979): 1190～1219
[135] Shiller R., Conversation, Information and Herd Behavior[J] American Economic Review. 85(1990a): 181-185
[136] Shiller R., Speculative prices and popular models[J] Journal of Economic Perspectives. 42(1990b): 55-65
[137] Siegel J.J., The perfect witness.[J]Ballantine Books, New York. 1998
[138] Simaan Y. Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model.[J] Management science. 1997, 43: 1437-1446.
[139] Slovic P. Analyzing the expert judge: A study of a stockbroker 抯decision process[J]Journal of Applied Pshchology. 1969;27:255～263.
[140] Slovic P. Psychological study of human judgment: Implications for investment decision making[J]Journal of Finance. 1972;27:779～801.
[141] Statman M. Foreign stocks in behavioral[J]Financial Analysts Journal. 1999;55(March/April): 12～16.
[142] Stein C. Multiple Regression in Contributions to Probability and Statistics: Essays in Honor of Haroid Hotelling. Olkin, Stanford University,1960
[143] Tanaka H, Peijun G, Trksen I B. Portfolio selection based on fuzzy probabilities and possibility distributions[J] Fuzzy Sets and Systems, 2001, 111: 387—397.
[144] Thaler R. Mental Accounting Matters[J] Journal of Behavioral Decision Making.12(1999):183～206
[145] Thaler R. H., Advances of Behavioral Finance. New York: McGraw Hill. 1993
[146] Thaler R.H., Mental Accounting Matters[J]Journal of Behavioral Decision Making. 1999;12:183～206.
[147] Thaler R.H., Seasonal movements in security prices Ⅱ: weekend, holiday, turn of the month and intra-day effects[J]Journal of Economic Perspectives. 45(1987): 169-177
[148] Tobin J. Liquidity preference as behavior towards risk[J]Review of Economic Studies. 1958; 25, 65～86.
[149] Tversky A and Kahneman D. Rational choice and the framing of decisions[J] Journal of Business. 1986,59: S251～S278.
[150] Tversky A., Kahneman D. Judgement under uncertainty: Heuristics and biases[J]Scienee. 1974;185:1124～1131.
[151] Tversky A., Kahneman D. Advances in Prospect Theory: Cumulative Representation of Uncertainty,[J] Journal of Risk and Uncertainty, 1992,5,297～323
[152] Uri Benzion and Joseph Yagil. Portfolio Composition Choice: A Behavioral Approach[J] The Journal of Behavioral Finance 4:2(2003)85～95
[153] Young M R., A Minimax Portfolio Selection Rule with Linear Programming Solution[J] Management Science,44(1998)673～683.
[154] Zweig M.E., An investor expectations stock price predictive model suing closed-end fund premiums[J] Journal of Finance. Mar 1973
[1] 陈华友.王居平.证券组合投资的动态模型研究[J]工科数学.2001(3):16-20.
[2] 陈金龙.张维.CvaR与投资组合优化统一模型[J]系统工程理论方法应用.2002(1):68～71.
[3] 陈收.邓小铁.汪寿阳.刘卫国.资本结构变化对组合投资有效边界的影响[J]中国管理科学.2001(1):6～11.
[4] 陈收.邓小铁.汪寿阳.刘卫国.资本结构变化对组合投资有效边界的影响[J]中国管理科学.2001(1):6～11.
[5] 陈收.杨宽.廖韶.雷辉.证券市场中股票成交量对投资组台优化的影晌[J]管理科学学报.2002(5):6～10.
[6] 陈收著.行为金融理论与实证[M]湖南大学出版社.2004年6月第一版.
[7] 范宝珠.滕成业.朱庆华.非负约束下含无风险证券的投资组合方法[J]中山大学学报(自然科学版)2001(3):25～28.
[8] 郭存芝.一种证券组合投资的模糊多目标规划方法[J]系统工程理论与实践.2001(1):21～30.
[9] 郭晓亭.蒲勇键.林略.风险概念及其数量刻画[J]数量经济技术经济研究.2004(2):111～115.
[10] 郭晔.行为金融理论发展评介——当前行为金融发展存在自我局限[J]经济科学.2003(3):91～97.
[11] 韩其恒.唐万生.梁建峰.允许卖空情况下证券投资组合的概率准则模型[J]系统工程学报.2003(4):289～293.
[12] 何宜庆.王浣尘等.E—Sh风险下的证券组合投资多目标决策模型[J]系统工程学报.2001(1):66～71
[13] 黄兴旺.行为金融理论评述[J]经济学动态.2000(8)
[14] 胡昌生.丰赋.基于心理会计的投资选择[J]数量经济技术经济研究.2003(5):120～123.
[15] 胡国政.李楚霖.考虑交易费用的证券组合投资的研究[J]预测,1998(5):33～36.
[16] 胡海鹏.方兆本.投资组合VAR及其分解[J]中国管理科学.2003(3)1～5.
[17] 蒋殿春著.现代金融理论[M]上海人民出版社.2001年11月第一版.
[18] 蒋晓阳.风险度量理论综述[J].世界经济.1～5.
[19] 贾建民.行为经济学和决策制订棗 2002年度诺贝尔经济科学奖评论之一[J]中外管理导报.2002(10):5～8.
[20] 李仲飞.汪寿阳.EaR风险度量与动态投资决策[J]数量经济技术经济研究.2003(1):45～51.
[21] 廖懿.陈收.杨宽.成交量对证券组合投资有效边界影响的实证分析[J]数量经济技术经济研究.2001(7):85～88.
[22] 林辉.何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型[J]财贸经济.2003(12):46～49
[23] 林军.具有模糊系数的证券组合投资选择模型[J]系统工程理论方法应用.2002(1):72～76
[22] 林辉.何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型[J]财贸经济.2003(12):46～49
[23] 林军.具有模糊系数的证券组合投资选择模型[J]系统工程理论方法应用.2002(1):72～76
[24] 刘海龙,樊治平,潘德惠.带有固定交易费用的证券投资最优策略[J]管理科学学报,1999,2(4).
[25] 刘海龙,孔良,潘德惠.具有固定交易费用的证券投资最优策略[J]预测,1999,28(2),23～27.
[26] 刘海龙、吴冲锋.证券投资决策的二阶段动态分析法[J]系统工程理论与实践.2000.9,9～13
[27] 刘海龙.郑立辉.樊治平.潘德惠.证券投资决策的微分对策方法研究[J].系统工程学报.1999;18(1):69～72.
[28] 刘海龙.郑立辉.吴冲锋.现代金融理论的进展综述[J]系统工程理论与实践.2001;1:14～20.
[29] 刘力.行为金融理论对效率市场假说的挑战[J]经济科学.1999(3):63～71.
[30] 刘善存.邱菀华.汪寿阳.带交易费用的泛证券组合投资策略[J]系统工程理论与实践.2003;1:22～25.
[31] 刘善存.汪寿阳.邱菀华.一个证券组合投资分析的对策论方法[J].系统工程理论与实践.2001;5:88～92.
[32] 刘小茂.李楚霖.王建华.风险资产组合的均值—CvaR有效前沿[J]管理工程学报.2003(1):29～32.
[33] 刘志新.牟旭涛.投资组合最大损失最小化模型研究[J]系统工程理论与实践.2000(12)22～25.
[34] 刘志阳,国外行为金融理论述评[J]经济学动态.2002.3
[35] 柳宏珠.郭晓斌.王海民.证券投资组合优化模型的进一步研究[J]运筹与管理.2003(1):70～73
[36] 李仲飞.汪寿阳著.投资组合优化与无套利分析[M]科学出版社.2001年5月第一版.
[37] 罗洪浪.王浣臣.现代投资组合理论的新进展[J]系统工程理论方法应用.2002(3)185～189.
[38] 罗秋兰.陈有禄.具有交易成本的证券组合投资决策研究[J]应用数学.2003.16(1):55～58
[39] 买忆媛、乔俊杰.多因素环境下的投资组合理论[J]西南民族学院学报(自然科学版).2001(1):45～48
[40] 马永开.唐小我.多因素证券组合投资决策模型[J]预测.1998(5):62～65
[41] 马永开.唐小我.限制性卖空条件下β值证券组合投资决策模型[J]系统工程学报.2001(2):81～87
[42] 马永开.唐小我.行为证券组合投资决策方法研究[J]系统工程学报.2003(1):71～76.
[43][美]安德瑞·史莱佛著.赵英军译效.并非有效的市场——行为金融学导论[M]中国人民大学出版社.2003年6月第一版.
[44][美]哈里·H·马科维茨著.刘军霞.张一驰译.资产选择——投资的有效分散化(第二版)[M]首都经济贸易大学出版社.2000年3月第一版.
[45][美]哈里·H·马科维茨著.朱菁.欧阳向军译.资产组合选择和资本市场的均值——方差分析[M]上海人民出版社.1999年5月第一版.
[46][美]凯恩斯著.徐毓丹译:就业利息货币通论,商务印书馆1963年版.
[47][美]斯坦利·R·普利斯卡著.王忠玉译.数理金融学引论——离散时间模型[M]经济科学出版社.2003年3月第一版.
[48][美]威廉·F·夏普著.胡坚译.投资组合理论与资本市场[M]机械工业出版社,McGraw-Hill出版社.2001年3月第一版.
[49][美]滋维·博迪.亚历克斯·凯恩.艾伦J.马库斯著.朱宪宝.吴洪.赵冬青等译.投资学(第四版)[M]机械工业出版社,McGraw-Hill出版社.2000年5月.
[50] 缪琳,姚俭.摩擦市场的投资决策模型研究[J]上海理工大学学报.2003.1 54～57.
[51] 秦学志.吴冲锋.模糊随机风险偏好下的证券投资组合选择方法[J]管理科学学报.2003(4):73～76.
[52] 饶育蕾.刘达锋著.行为金融学[M]上海财经大学出版社.2003年5月第一版.
[53] 容喜民.张奎庭.王晨亮.李践.有交易成本的证券投资研究[J]系统工程学报.2003(3):198～202.
[54] 首届“行为金融学与资本市场”学术研讨会论文集,2003年11月29日——11月30日,南京.
[55] 宋逢明著.金融工程原理——无套利均衡分析[M]清华大学出版社.1999年10月第一版.
[56] 唐小我.潘景铭.不允许卖空条件下组合证券投资有效边界的确定方法[J]预测.1995(5):53～56.
[57] 田军.黄登仕.郭耀煌.多因素组合投资最优决策的加权集成方法[J]系统工程理论与实践.2001(8):87-91.
[58] 屠新曙.王春峰.最佳均值—VAR投资组合问题的研究[J]湘潭大学自然科学学报.2002(2):13～17.
[59] 汪贵浦.王明涛.Harlow下偏矩证券组合优化模型的求解方法研究[J]系统工程理论与实践.2003(6):42～47.
[60] 薛求知.黄佩燕.鲁直.张晓蓉著.行为经济学——理论与应用[M]复旦大学出版社.2003年11月第一版.
[61] 徐绪松.陈彦斌.绝对离差证券组台投资模型及其模拟退火算法[J]管理科学学报.2002(3):79～85.
[62] 徐绪松.杨小青.陈彦斌.半绝对离差证券组合投资模型[J]武汉大学学报(理学版).2002(3):297～300.
[63] 杨德权、杨德礼、胡运权.动态组合证券投资决策非线性递推规划模型[J]大连理工大学学报.2000(5):625～630.
[64] 杨晓光.马超群.文风华.VaR之下厚尾分布的最优资产组合的收敛性[J]管理科学学报.2002(1).65～69.
[65] 杨云红著.金融经济学[M]武汉大学出版社.2000年4月第一版.
[66] 袁军鹏、宿洁.个人消费—投资多阶段决策模型[J]中国管理科学.2003(5):12～15.
[67] 余运洋.吴健中.投资组合理论与资产运行模型综述[J]管理工程学报.1997(1):60～68.
[68] 张新.中国金融学面临的挑战和发展前景[J]金融研究.2003(8):36～44.
[69] 张兵.行为金融理论述评及其在中国股市的应用[J]经济管理.新管理.2002(22):86～91.
[70] 张卫国、谢建勇、聂赞坎.不相关证券组合有效集的解析表示及动态分析[J]