基于累积前景理论的多资产投资组合优化与实证研究
Optimization and Empirical Research of Multi-Asset Based on Cumulative Prospect Theory

基于CPT视角的多风险资产投资组合模型，探讨投资者面对不同投资风险时的心理变化以及心理变化对其投资策略的影响。通过选取不同超额收益率及波动率水平的股票，测试投资策略对于风险态度指标的敏感度。研究表明，投资者面对不同风险具有明显地心理变化，并且其心理变化对投资策略具有显著的影响。具体表现在几个方面：投资者面对不确定收益时，表现出风险厌恶，面对不确定损失时，表现出风险偏好；投资者将风险资产的投资收益作为心理参考点，所做的投资决策与相对于此参考点的相对财富水平的变化有关，而不是与传统理论中的绝对财富变化量相关。
Based on the multi-risk asset portfolio model from the perspective of CPT, this paper discusses the psychological changes of investors and the impact of psychological changes on their investment strategies when they face different investment risks. This paper tests the sensitivity of investment strategies to the indicators of risk attitude by selecting stocks with different levels of excess returns. Research shows that investors have distinctly psychological changes in the face of different risks, and their psychological changes have a significant impact on investment strategies. Specifically, there are several aspects: When investors face uncertain gains, they show risk aversion. When they are uncertain losses, they show risk seeking. Investors take the investment returns of risk-free assets as psychological reference points. The decisions of investments are related to changes in the relative wealth level relative to this reference point, rather than to the absolute wealth changes in traditional theory.