考虑货币政策行为感知的投资组合优化

IF 0.4 Q4 ECONOMICS
N. Redkin
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引用次数: 0

摘要

本文将现代行为经济学理论应用于俄罗斯股市的投资组合。作者根据媒体来源的货币政策指标变化,分析了使用投资组合修正优化私人投资者投资组合的可能性。投资组合选择的行为模型基于莫斯科交易所的股票价值,并考虑到俄罗斯银行监管的指标形式的前景理论中的参考点。所需准备金的关键利率和标准、通货膨胀、银行存款平均利率以及美元对卢布的汇率被用作货币政策指标。行为模型是一种修正的平均方差理论,其中盈利能力和风险的计算是根据主要的行为理论,即累积前景和心理会计理论进行的。作者根据风险厌恶程度考虑了形成投资组合的各种选择。通过比较平均方差投资组合优化模型和基于行为因素平均方差修正理论的模型,发现修正模型在预测期内的风险收益率较高,而在分析期内,所有模型都位于Markowitz有效投资组合线上。作为投资组合行为理论的进一步发展,提出了调整模型的可能性,不仅取决于参考点,还取决于风险接受系数和概率估计的变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Optimization of Investment Portfolios Taking into Account the Behavioral Perception of Monetary Policy
The paper presents an adaptation of modern behavioral economic theory to portfolio investment in the Russian stock market. The author analyzes the possibility of optimizing the investment portfolio for a private investor using portfolio correction based on changes in monetary policy indicators available in media sources. The behavioral model of portfolio selection is used, based on the value of shares on Moscow Exchange and taking into account a reference point in the theory of prospects in the form of indicators regulated by the Bank of Russia. The key rate and the standard of required reserves, inflation, the average rate on bank deposits, and the exchange rate of the US dollar to the ruble are used as monetary policy in­dicators. The behavioral model is a modified theory of average variance, in which the calculation of profitability and risk is carried out according to the main behavioral theories, namely the cumulative prospect and mental accounting theory. The author considers various options for forming a portfolio in accordance with the level of risk aversion. As a result of comparing the models of optimization of the average variance portfolio and the models based on the modified theory of average variance using behavioral factors, higher risk-return ratios of the modified models were revealed in the forecast period, while for the analyzed period all models were located on the line of Markowitz efficient portfolio. As a further development of the portfolio behavioral theory, the possibilities of adapting the model are proposed not only depending on the points of reference, but also de­pending on changes in risk acceptance coefficients and probability estimates.
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来源期刊
CiteScore
1.30
自引率
20.00%
发文量
0
期刊介绍: Ekonomicheskaya Politika is a broad-range economic journal devoted primarily to the study of the economic policy of present-day Russia as well as global economic problems. The subject matters of articles includes macroeconomic, fiscal, monetary, industrial, social, regulation and competition policyand more. The journal also publishes theoretical papers in such areas as political economy, general economic theory, welfare economics, law and economics,and institutional economics.. The character and the scope of economic problems studied in many publications require a multidisciplinary approach, consistent with the editorial policy of the journal. While the thematic scope of articles is generally related to Russia, the aim of editorial policy is to cover politico-economic processes in the modern world and international economic relations, as well. In addition, Ekonomicheskaya Politika publishes Russian translations of classical and significant modern works of foreign economists.
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