Optimization And Research Of Multi Risk Asset Based On Cumulative Prospect Theory Under Asymmetric Learning

In the process of risk decision-making by traditional investors,the theory of expected utility proposed by John von Neumann & Oskar Morgenstern is used commonly.However,considering that investors will show different risk attitudes when facing the two states of loss or profit,real-life investors cannot become “completely rational people”.Therefore,based on the cumulative prospect theory(CPT),this paper fully considers the psychological factors of investors,and carries out the portfolio analysis of the CPT investors.In addition,the asymmetric information theory proposed by Camelia M.Kuhnen shows that the historical information of the assets in the investment agent's portfolio will affect his subsequent investment decision behavior by affecting the investor's psychological sentiment.Under this circumstance,this paper makes some improvements on the basis of CPT and constructs a modern portfolio optimization model based on CPT investors under asymmetric information theory.In the research,this paper has always adhered to the research method combining theoretical analysis and simulation analysis.The main research framework is as follows: Firstly,after the introduction of the research background and literature review in the first chapter,the second chapter will introduce the corresponding theoretical knowledge in detail,including cumulative prospect theory(CPT)and asymmetric information theory(AIT).Secondly,the main content of the third chapter is the model construction,including the relevant models of the basic CPT,and the necessary improvements to be built on this basis.Finally,the fourth chapter is the simulation analysis.This paper adopts the growth rate of 15 blue-chip stocks in China's A-share market as the risky assets in 2018,and regards the corresponding 1-year government bond yield as the risk-free return of investors.On the basis of this data,the paper finally obtains the optimal investment strategy solution of CPT investors under asymmetric information conditions,and carries out relevant sensitivity analysis test.Obviously,the fifth chapter is the conclusion part.The main innovations of this paper are as follows: Firstly,based on the CPT and the AIT,this paper not only pays attention to the influence of the investment agent's emotion on its decision-making,but also explores the impact of the historical income of the risk asset on the sentiment of the investor.Secondly,this paper focuses on the investment of multi-risk assets,which is closer to the real investment situation than the traditional single risk asset research.Thirdly,this paper randomly selects blue-chip stocks in various industries in the domestic A-share market as risk assets,and domestic one-year government bonds as risk-free assets.Therefore,the research results have certain practical significance.Fourth,this paper pays more attention to the impact of investment behavioral psychology changes on its portfolio decision.From a realistic perspective,this hypothesis is closer to the real psychological state of the investor.