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RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS

文献类型：期刊论文

作者Chen, Xi2; Wang, Zongrun2; Deng, Songhai3; Fang, Yong1
刊名JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
出版日期2019-07-01
卷号15期号:3页码:1473-1492
关键词Perceived risk overconfidence price distribution subjective probability structured financial product
ISSN号1547-5816
DOI10.3934/jimo.2018105
英文摘要In financial optimization, it is important to quantify the risk of structured financial products. This paper quantifies the risk of structured financial products by perceived risk measures based on a standard measure of risk, and then we construct the risk perception and decision-making models of individual investors considering structured products. Moreover, based on bullish and bearish binary structured products, we introduce the psychological bias of overconfidence to explore how this bias affects investors' perceived risk. This study finds that overconfident investors believe in private signals and underestimate the variance of noise in private signals, which affects their expectation of the underlying asset price of structured financial products. Furthermore, overconfidence bias leads investors to overestimate the probability of obtaining a better return. With the increase in overconfidence, the overestimation of the probability is intensified, which eventually leads to lower perceived risk.
资助项目National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71371194]
WOS研究方向Engineering ; Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000466101700023
出版者AMER INST MATHEMATICAL SCIENCES-AIMS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/34697]  
专题系统科学研究所
通讯作者Chen, Xi; Wang, Zongrun
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Cent S Univ, Sch Business, Changsha, Hunan, Peoples R China
3.Cent S Univ, Sch Math & Stat, Changsha, Hunan, Peoples R China
推荐引用方式
GB/T 7714		 Chen, Xi,Wang, Zongrun,Deng, Songhai,et al. RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,2019,15(3):1473-1492.
APA Chen, Xi,Wang, Zongrun,Deng, Songhai,&Fang, Yong.(2019).RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS.JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,15(3),1473-1492.
MLA Chen, Xi,et al."RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS".JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION 15.3(2019):1473-1492.

入库方式： OAI收割

来源：数学与系统科学研究院

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