Since Harry M.Markowitz proposed the portfolio selection theory, portfolio study has been a hot field. But there are still some inconsequence factors in this theory, so the fund managers who used it make very embarrassed outcome, and there are stronger request in proposing a new portfolio selection model.Facing to the problem, the paper analyzes the background and development of the former portfolio selection models, learns from the former scholar's thoughts of model update, and points out that the former models couldn't reflect the investment psychology properly. Basing on these, the paper proposes an asymmetric risk utility measurement (ARUM) according to the investment psychology, testifies its consistent with third-degree stochastic dominance. Then the paper sets up a new model base on the ARUM arithmetic, takes deeply discussion of the parameters. This new model properly differentiates investor's psychology between income and risk, it shows some flexibility and maneuverability.The paper also implements an archetypal portfolio selection system to do empirical study, the result shows that the new model not only achieves"market-beating", but also get the better outcome than the former models, and the parameters of the model can properly reflect and adjust the investment psychology of different investors. |