基于改进一般失望模型的投资组合与资产定价研究
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摘要
经典投资组合和资产定价理论采用了源于新古典主义经济学的同质经济概念，假设投资者的经济决策是完全理性的。但理性并非人类行为的唯一驱动力，还会更多地受主观偏好等多重因素的影响。对资产的收益和风险采用不同的度量方法，会得到不同的投资组合方案，进一步也会得出不同的资产定价模型。投资者所持有的资产具有不同的类型和不同程度的风险，这些风险会给投资者带来相应的损失，因此投资者会对相应的资产进行必要的与风险相关的分析和评估，从而采取符合其投资目的和风险偏好的投资策略，减少其可能遭受的损失。而资产定价模型反应的则是整个市场处于均衡状态时资产的风险与其均衡价格之间的关系。因此深入研究并理解已有先进投资组合与资产定价理论的相关研究成果，在此基础上根据行为主体的真实心理感受及市场的实际运行状况对相关理论进行发展与完善，具有重要的理论与实际意义。
本文首先对已有的风险偏好和风险度量以及投资组合优化和资产定价理论进行了总结与评价，指出已有理论存在的缺点与不足。在此基础上对已有理论进行改进与完善，提出了改进的一般失望模型，在这一改进的模型中，原有的行为主体目标收益参考点由固定的期望收益变为更为灵活的一般性收益参考点，同时采用适用性更强的线性分段效用函数替代了原有的效用函数，使得新的改进后的一般失望模型能够反映行为主体的多层次风险感受。
其次，本文在改进的一般失望模型基础上构建了两类新的投资组合优化模型，其中一类以改进的一般失望模型作为目标函数，这类投资组合优化模型能够更为全面的反映行为主体或投资者的多重风险偏好，并为其提供相应的更为符合要求的投资组合方案，另一类投资组合优化模型以改进的一般失望模型对投资组合收益的偏度进行控制。与已有的偏度控制方法相比，以改进的一般失望模型进行偏度控制可以在满足相同投资目标的情形下为投资者提供更多的获取超额收益的机会。
再次，本文在基于改进的一般失望模型的投资组合优化模型的基础上，推导出了单参考点情形下的资产定价模型，进而又给出了多参考点情形下的资产定价模型，并对这一模型进行了相关的实证研究，同时对模型中不同风险偏好对应的不同贝塔系数进行时变特征的研究，以系统的分析不同风险偏好对应的不同类型资产定价因子的时变特征。
最后，本文对多参考点情形的基于改进一般失望模型的资产定价模型进行了进一步扩展，使其包括更多类型的资产定价风险因子，并以这个模型为基础，将流动性风险因子引入到资产定价模型中，同时本文对给出的包含流动性风险定价因子的定价模型进行相关实证研究，并进一步分析流动性风险贝塔的各种时变性特征，研究结果表明，本文对资产定价模型进行的扩展性研究是合理可行的。
Traditional portfolio and asset pricing theory adopt the concept ofhomogeneous economy which originated from neoclassical economics, assumingthe investors and their investment decisions are completely rational. However,rationality is not the only reason driving the human behavior but also other fact orsaffecting, such as subjective preferences and so on. With different measurement ofasset return and risk, there can exist differentiated portfolio for investors, and assetcan be priced differently with distinct pricing model. Investors holds assets ofvarious type and risk, and related risk bring losses to investors, for the reason ofwhich investors carry out necessary analysis and assessment of asset risk, and adoptrelative strategy consider with investors' objective and preference with less losses.Asset pricing model is the very formulation that reflects the relationship betweenasset risk and return in the situation of equilibrium market. Therefore going deepinto and comprehending current advanced theories of portfolio and asset pricing,based on which developing relative theories according the real feeling of investorsand real situation of market, have great significance both theoretically andpractically.
First, this paper make summative analysis of current theories of risk preference,risk measure, portfolio management and asset pricing, based on which this paperanalysis the shortcomings and insufficiency of the former theories. Then this paperput forward an improved generalized disappointment model, in the improved modeloriginal subject's target return reference point is changed from fixed expectedreturn to a generalized reference point, which is more flexible. In the meantimeimproved generalized disappointment model adopts linear piecewise utility functioninstead of traditional utility function, which makes the improved generalizeddisappointment model reflecting multiple risk feeling of investors.
Second, based on the improved generalized disappointment model, this paperintroduces two kind of new portfolio models. One kind of the portfolio models setthe improved generalized disappointment model as target function, and can reflectinvestors' multiple risk attitude more comprehensively with more satifying portolio plan. The other kind of the portfolio models set improved generalizeddisappointment model as constraint which controls the skewness of portfolio return.Compared with current skewness controlling method in portfolio model, the methodadopt in this paper can offer more chances to get excess return with the sameinvestment target satisficed.
Third, this paper deduces new asset pricing model with the portfolio modelbased on improved generalized disappointment model. Also this paper deduces anew pricing model with multiple reference points and analyzes the modelempirically. In the empirical research this paper focuses on the time varyingcharacteristics of beta in asset pricing model in order to analyze different assetpricing factors' time varying feature with multiple risk preference.
Finally, this paper expands the asset pricing model based on improvedgeneralized diasppointment model. The expanded asset pricing model containsmore asset pricing factors. Also this paper introduce liquidity risk pricing factors into the expanded pricing model and analyzes the new pricing model empirically. Andthe liquidity risk pricing factors' time varying characteristics is analyzes, the resultsshows that the related improvement of asset pricing model in this paper is relevantand feasible.
本文首先对已有的风险偏好和风险度量以及投资组合优化和资产定价理论进行了总结与评价，指出已有理论存在的缺点与不足。在此基础上对已有理论进行改进与完善，提出了改进的一般失望模型，在这一改进的模型中，原有的行为主体目标收益参考点由固定的期望收益变为更为灵活的一般性收益参考点，同时采用适用性更强的线性分段效用函数替代了原有的效用函数，使得新的改进后的一般失望模型能够反映行为主体的多层次风险感受。
其次，本文在改进的一般失望模型基础上构建了两类新的投资组合优化模型，其中一类以改进的一般失望模型作为目标函数，这类投资组合优化模型能够更为全面的反映行为主体或投资者的多重风险偏好，并为其提供相应的更为符合要求的投资组合方案，另一类投资组合优化模型以改进的一般失望模型对投资组合收益的偏度进行控制。与已有的偏度控制方法相比，以改进的一般失望模型进行偏度控制可以在满足相同投资目标的情形下为投资者提供更多的获取超额收益的机会。
再次，本文在基于改进的一般失望模型的投资组合优化模型的基础上，推导出了单参考点情形下的资产定价模型，进而又给出了多参考点情形下的资产定价模型，并对这一模型进行了相关的实证研究，同时对模型中不同风险偏好对应的不同贝塔系数进行时变特征的研究，以系统的分析不同风险偏好对应的不同类型资产定价因子的时变特征。
最后，本文对多参考点情形的基于改进一般失望模型的资产定价模型进行了进一步扩展，使其包括更多类型的资产定价风险因子，并以这个模型为基础，将流动性风险因子引入到资产定价模型中，同时本文对给出的包含流动性风险定价因子的定价模型进行相关实证研究，并进一步分析流动性风险贝塔的各种时变性特征，研究结果表明，本文对资产定价模型进行的扩展性研究是合理可行的。
Traditional portfolio and asset pricing theory adopt the concept ofhomogeneous economy which originated from neoclassical economics, assumingthe investors and their investment decisions are completely rational. However,rationality is not the only reason driving the human behavior but also other fact orsaffecting, such as subjective preferences and so on. With different measurement ofasset return and risk, there can exist differentiated portfolio for investors, and assetcan be priced differently with distinct pricing model. Investors holds assets ofvarious type and risk, and related risk bring losses to investors, for the reason ofwhich investors carry out necessary analysis and assessment of asset risk, and adoptrelative strategy consider with investors' objective and preference with less losses.Asset pricing model is the very formulation that reflects the relationship betweenasset risk and return in the situation of equilibrium market. Therefore going deepinto and comprehending current advanced theories of portfolio and asset pricing,based on which developing relative theories according the real feeling of investorsand real situation of market, have great significance both theoretically andpractically.
First, this paper make summative analysis of current theories of risk preference,risk measure, portfolio management and asset pricing, based on which this paperanalysis the shortcomings and insufficiency of the former theories. Then this paperput forward an improved generalized disappointment model, in the improved modeloriginal subject's target return reference point is changed from fixed expectedreturn to a generalized reference point, which is more flexible. In the meantimeimproved generalized disappointment model adopts linear piecewise utility functioninstead of traditional utility function, which makes the improved generalizeddisappointment model reflecting multiple risk feeling of investors.
Second, based on the improved generalized disappointment model, this paperintroduces two kind of new portfolio models. One kind of the portfolio models setthe improved generalized disappointment model as target function, and can reflectinvestors' multiple risk attitude more comprehensively with more satifying portolio plan. The other kind of the portfolio models set improved generalizeddisappointment model as constraint which controls the skewness of portfolio return.Compared with current skewness controlling method in portfolio model, the methodadopt in this paper can offer more chances to get excess return with the sameinvestment target satisficed.
Third, this paper deduces new asset pricing model with the portfolio modelbased on improved generalized disappointment model. Also this paper deduces anew pricing model with multiple reference points and analyzes the modelempirically. In the empirical research this paper focuses on the time varyingcharacteristics of beta in asset pricing model in order to analyze different assetpricing factors' time varying feature with multiple risk preference.
Finally, this paper expands the asset pricing model based on improvedgeneralized diasppointment model. The expanded asset pricing model containsmore asset pricing factors. Also this paper introduce liquidity risk pricing factors into the expanded pricing model and analyzes the new pricing model empirically. Andthe liquidity risk pricing factors' time varying characteristics is analyzes, the resultsshows that the related improvement of asset pricing model in this paper is relevantand feasible.
引文
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