损失厌恶、风险偏好与家庭资产配置的关系研究摘要本文在前景理论的基础上，以上证综合指数为样本，采用损失厌恶效用最大化函数去分析投资者的投资行为决策。以分析效用函数中风险偏好、损失厌恶系数、收益曲率和损失曲率四者之间的关系。研究结果表明，在全样本跟熊市中，损失曲率都大于收益曲率，而在牛市中，损失曲率却小于收益曲率；市场投资者对于收益的变化，比对于损失的变化更加的不敏感；从单个因素来看，当其他两个因素不变时，随着风险偏好的不断增加，损失曲率也不断的增大，相对变化没那么明显；随着损失厌恶系数的不断增加，损失曲率也不断的变大，相对来说较明显；随着收益曲率的不断增加，损失曲率也不断的变大，相对来说最明显；在我国的股票市场中，研究投资者的损失效用，采用Kahneman和Tversky两位学者提出的参数值并不合适，在我国的股票市场中，在面对损失厌恶时，我们应该更加的理智。本文对投资者进行投资决策过程中受到损失厌恶和风险偏好的影响以及家庭资产配置过程中受损失厌恶和风险偏好影响具有借鉴意义。关键词：风险偏好；损失曲率；收益曲率；损失厌恶系数ResearchontherelationshipbetweenlossaversionriskpreferenceandhouseholdassetallocationAbstractBasedontheprospecttheory,takingtheShanghaiCompositeIndexasthesample,thispaperusesthelossaversionutilitymaximizationfunctiontoanalyzetheinvestmentbehaviordecision-makingofinvestors.Toanalyzetherelationshipamongriskpreference,lossaversioncoefficient,returncurvatureandlosscurvatureinutilityfunction.Theresultsshowthatinthewholesampleandbearmarket,thelosscurvatureisgreaterthanthereturncurvature,whileinthebullmarket,thelosscurvatureislessthanthereturncurvature;Marketinvestorsaremoreinsensitivetochangesinreturnsthantochangesinlosses.Fromasinglefactor,whentheothertwofactorsremainunchanged,withthecontinuousincreaseofriskpreference,thelosscurvaturealsoincreases,andtherelativechangeisnotsoobvious;Withtheincreaseoflossaversioncoefficient,thelosscurvaturealsoincreases,whichisrelativelyobvious;Withthecontinuousincreaseofincomecurvature,thelosscurvaturealsoincreases,whichisthemostobvious;InChina'sstockmarket,itisnotappropriatetostudythelossutilityofinvestorsandadopttheparametervalueproposedbyKahnemanandTversky.InChina'sstockmarket,weshouldbemorerationalinthefaceoflossaversion.Thispaperhasreferencesignificanceforinvestorstobeaffectedbylossaversionandriskpreferenceintheprocessofinvestmentdecision-making,andbylossaversionandriskpreferenceintheprocessofhouseholdassetallocation.Keywords：Riskappetite；Lossofcurvature;Revenuecurvature;lossaversioncoefficient目录一、引言.........................................................................................................................................................1（一）研究背景...................................................................................................................................1（二）研究的意义...............................................................................................................................1（三）研究内容...................................................................................................................................2二、文献综述.................................................................................................................................................2（一）国内文献...................................................................................................................................2（二）国外文献..........................................
