Research On Investor Heterogeneity And Behavior Choice

Markowitz combines the efficient frontier and non-difference curves to maximization the investor's utility, using a tangent point. This theory to be already mature and obtain the widespread application, but it established in suppose of the investor was a person of risk loathing and rational. The kinds of anomalies appearing in the real capital market questioned this method, more and more research start to concentrate to the investor behaviors. This article attempts to use the investors risk preference heterogeneity as the entry point, through introducing the incomplete information to discuss the portfolio selection problem based on limited rationality under the meaning of behavioral finance. According to these, we hope to find some experience evidence in China's stock market by using empirical analysis method.The article is divided into five chapters, fundamental analysis frame and main content included:Chapterâ… -Introduction. As a beginning, This chapter mainly introduced the background and significance of this study. According to the developmental context, summarizes the domestic and foreign investors behavior choice theory, also the main research contents, the research idea and innovation of this paper.Chapterâ…¡-Risk preference and optimal portfolio. This chapter distinguish Markowitz's mean-variance model by the investor's risk preference. According to their risk characteristics the investors are divided:risk averse investors, risk-seeking investors and risk-neutral investors. We analyse the optimal portfolio of the different types of investors under Markowitz's mean-variance theoretical paradigm, and the revenue and risk characteristics of the market formed by three types of investors.Chapterâ…¢-limited rationality under Incomplete Information. This chapter try to look for the limited rationality investors' fit asset selection criteria under uncertainty. We divide the people into six heterogeneous investors based on the behavioral finance perspective of limited rationality and incomplete information. Combining with the behavioral characteristics of heterogeneous investors, they can be grouped into three types of investment transactions:active traders, passive traders and information traders. According to the different types of traders, we reveal the relevant market phenomena:overconfidence, herd behavior, arbitrage from the micro-level which discussed by behavioral finance.Chapterâ…£-Evidence of Chinese stock market. An empirical analysis of Chinese market's characteristics was made through the establishment of the market pricing model that expressed the investors' heterogeneity, combined with Shanghai market data. The empirical results show that:Asset price is deviated from the company's intrinsic value, most of the investors are non-rational.Chapterâ…¤-Recommendations for Chinese investors and securities markets.