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Behavioral Portfolio Model of Institutional Investors Based on Multi-Agent
Author(s): 
Pages: 114-120
Year: Issue:  3
Journal: OPERATIONS RESEARCH TRANSACTIONS

Keyword:  运筹学行为金融机构投资者Multi-Agent行为投资组合理论;
Abstract: 从人的有限理性角度研究了机构投资者的投资组合决策问题.基于Multi-Agent构建了多心理账户情景下,机构投资者的两级行为投资组合模型;并且,利用两状态Markov链和管理熵函数描述了该模型中的关键参数;仿真算法释例验证了该模型能够逼近实际决策情景.
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