基于三参照点理论的结构性产品购买行为
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(中南大学商学院,长沙410083)

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E-mail: zrwang0209@sina.com.

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F830

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国家自然科学基金项目(71631008).


Purchase behavior of structured products based on tri-reference point theory
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(Business School,Central South University,Changsha410083,China)

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    摘要:

    三参照点理论认为对于决策主体而言,底线、现状及目标会成为人们的行为依据,价值由此被划分为失败、损失、获益、成功4个区域.充分考虑投资者的底线、现状及目标收益,以最大化三参照点感知价值为目标函数,安全第一原则为约束条件,构造投资组合选择模型. 设计适合于求解该优化问题的粒子群算法,并据此将中国理财市场上较为常见的两种结构性产品纳入投资组合,通过三参照点理论中的参数变动研究投资者购买结构性产品的行为,考察结构性产品与无风险资产及风险标的相比的优越性.结果表明,在投资者底线较高、目标也较高的情况下结构性产品最受投资者偏好,因为此情境下的结构性产品能满足投资者在保证安全的前提下,追求较高收益的需求,从而受到多数投资者的喜爱.

    Abstract:

    In tri-reference point theory, minimum requirement (MR), status quo (SQ), and goal (G) are behavior rules for decision-making subjects, which divide the value into four regions: failure, loss, gain and success. Taking into account the investors' three reference points of investment return, a portfolio selection model is constructed by setting the maximum investors' perceived value in tri-reference point theory as the objective under the premise of meeting the safety-first principle. A particle swarm algorithm that is suitable for solving this optimization problem is designed. On this basis, two types of common structured products in China's financial market are included in two portfolios. Then the purchase behavior of structured products and the superiority of structured products compared to risk-free assets and underlying assets are studied by changing the parameters in tri-reference point theory. The results show that structured products are most favored by investors when both MR and G are relatively high. This is because under these circumstances, structured products can meet the demand of investors to pursue relatively high return on the premise of ensuring safety to make most investors prefer them.

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王宗润,何瑭瑭.基于三参照点理论的结构性产品购买行为[J].控制与决策,2020,35(3):677-685

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  • 在线发布日期: 2020-02-22
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