The Research Of Asset Selection And Asset Pricing Based On Rank-dependent Utility Model

With the rapid development of China and the deepening reform of the economic system,the concept of financial management of Chinese people has gradually improved,and investment has gradually become a widely used investment channel.Portfolio optimization means that investors allocate funds to several types of assets so that the amount of investment in each type of asset accounts for a certain percentage of the total investment.Make the overall return of investors holding assets as high as possible,or make their investment risks as low as possible.With the deepening of research,investment portfolio optimization theory has gradually evolved into a more successful and mature theory.Asset pricing is used to study the value or price of assets to be paid in the future under uncertainty.Commonly used methods include equilibrium pricing and arbitrage pricing,and now the stochastic discount factor and generalized moment method have become more commonly.This article is divided into six parts.The first chapter briefly explains the research background,research purpose,and research status of scholars.Chapter 2 mainly introduces basic financial knowledge.Chapter 3 mainly constructs the rank-dependent utility portfolio model.Using Matlab software,through the differential evolution algorithm,optimized analysis of the real economic market data of assets.Chapter 4 adds ambiguity to the continuous rank-dependent utility portfolio model.Kernel density estimation method is used to estimate the probability density of the expectation and variance,and a Copula joint distribution model is constructed.Also using the differential evolution algorithm,optimized analysis of the real economic market data of assets.Chapter 5 briefly analyzes the theoretical analysis of asset pricing for the rank-dependent utility model.The pricing kernel is constructed by the generalized recursive utility model.Chapter 6 summarizes the research content of this article and analyzes the shortcomings in the research,which guides the future research.