Abstract: Under the frames of single mental-account and multiple mental-account, the linear prospect theory behavioral portfolio optimization models are constructed based on prospect theory and tri-reference-point theory. This paper constructs behavioral portfolios in different market conditions by using CSI fund index data, empirically studies the optimal asset allocation strategies and portfolios performance of the linear prospect theory behavioral portfolio models, considering varied loss aversion parameters, reference point and different capital allocation strategies among mental accounts, and compares with traditional portfolio optimization models. The results illustrate the linear prospect theory portfolio models are more sensitive to downside loss, and behavioral investors who are subject to multiple mental-account pay more attentions to security than potential or aspiration.

Key words: prospect theory, loss aversion, mental accounting, reference point, behavioral portfolio optimization

摘要： 基于前景理论和三参照点理论,建立了单心理账户和三心理账户下的线性损失厌恶行为投资组合模型,并利用中证基金指数数据构建了不同市场状态下的行为投资组合,实证研究不同损失厌恶系数、不同参照点、不同心理账户资金配置条件下模型的最优资产配置策略和投资组合绩效,研究发现线性损失厌恶模型更关注下侧损失,损失厌恶系数影响资产配置,注重安全性的投资者偏好低风险资产,而寻求实现抱负水平的投资者更偏好高收益资产。

关键词: 前景理论, 损失厌恶, 心理账户, 参照点, 行为投资组合