投资者情绪与CPPI策略最优风险乘数选择

摘要/Abstract

摘要：

影响风险资产价格的因素有很多，其中投资者情绪作为一个重要的系统性因素，随时影响市场价格，且悲观情绪比乐观情绪的影响更为明显。CPPI策略在提高收益的过程中，需同时考虑投资者的损失厌恶心理和赌博投机心理，考虑到这些因素，投资者的行为必将受到风险资产价格变动的影响，因此，投资者情绪与投资理性并存，也将影响CPPI策略执行过程。投资者风险偏好可由选择CPPI策略的风险乘数m来实现，风险乘数m越大，投资者风险偏好程度越高，并希望得到更高的期望收益，但过高的m会导致市场在出现剧烈波动时不能保本。因此，本文引入投资者情绪，通过其对风险厌恶和收益追求两方面的影响，建立一个基于投资者情绪的CPPI策略模型，以投资者效用最大化为目标，讨论投资者情绪对CPPI策略的风险乘数m调整范围的影响，在考虑提高策略收益的同时，抑制极端情绪对策略选择的影响，选择最优的风险乘数m。研究结论发现，在引入投资者情绪后，投资者的期望收益率与无风险收益率相比，如果低于无风险资产收益率时，CPPI策略的风险乘数取其范围的下限或者不再投资风险资产；如果高于无风险资产收益率时，投资者可对自有资产进行合理配置，以期达到收益最大风险最小；在过度乐观和过度悲观的情况下，因为很难平衡风险收益的关系，策略投资者则可基于自身效用最大化选择风险乘数，风险乘数与投资者情绪正相关。实证结果分析表明，引入投资者情绪的CPPI策略在市场上涨时期与下跌时期能够提高投资者收益或者减少损失，但是在盘整时期其优势并不明显。

关键词: 投资者情绪, CPPI策略, 风险厌恶系数, 效用函数

Abstract:

CPPI strategy as a hedge financial product, in which the investor risk preference parameter m can be adjusted according to the impact of investor sentiment on risk demand. To improve the profitability of the strategy, both the expected return of investors' loss aversion psychology and the psychological needs of certain gambling investors need to be considered. Therefore, this paper introduces the investor sentiment in the CPPI strategy, sets up the CPPI strategy model based on the investor emotion under the condition of limiting the risk multiplier adjustment range, and discusses the influence of the investor sentiment on the CPPI strategy in order to improve the strategic benefits, and inhibit the impact of extreme emotions. The results show that when the investor's expected rate of return is less than the return on risk-free assets, the risk asset is not invested in or the risk asset is selected at the lower limit of the CPPI risk multiplier. When the risk assets expected return is greater than the risk-free rate of return, investor should select the optimal risk multiplier for the rational allocation of its own assets in order to maximize the benefits and minimize the risk. When investors are excessively optimistic or pessimistic, it is also difficult to balance the relationship between risk and return, and the strategy investors choose the risk multiplier based on their own utility maximization, the risk multiplier is positively correlated with investor sentiment. The empirical results of three strategies show that the CPPI strategy of investor sentiment is better in bull market and bear market, but its advantage is not obvious in the adjustment period.

Key words: investor sentiment, CPPI, risk aversion, utility function

姚远, 姜雅芳, 翟佳. 投资者情绪与CPPI策略最优风险乘数选择[J]. , 2018, 30(8): 43-57.

Yao Yuan, Jiang Yafang, Zhai Jia. Investor Sentiment and Optimizing Risk Multiplier of CPPI[J]. , 2018, 30(8): 43-57.

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