基于理性疏忽的均值方差投资组合模型研究

Study on the Mean Variance Portfolio Model Based on Rational Negligence

摘要: 经典的均值–方差模型根据经典经济学假设，认为人都是理性的。但实际情况中，人们通常会受限于有限的注意力，最优的投资组合会改变，于是本文在经典均值方差模型中添加信息约束条件，并用中国证券市场部分股票实证模拟了投资者在信息约束条件下可达到的最优投资组合，得到有效前沿。结果发现在增加信息约束条件后，有效前沿范围缩短，人们可以处理的风险变小。研究为理性疏忽的研究提供了思路。

Abstract: The classic mean variance model assumes that people are rational based on classical economic assumptions. However, in reality, people are often limited by limited attention and the optimal investment portfolio will change. Therefore, this article adds information constraints to the classical mean variance model and uses some stocks in the Chinese securities market to empirically simulate the optimal investment portfolio that investors can achieve under information constraints, obtaining an efficient frontier. It was found that with the addition of information constraints, the effective frontier range was shortened, and the risk that people could handle decreased. The study provides ideas for limited attention.