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| Late-Developing Advantage and Dynamic Management Adjustment of Portfolios Based on Prospect Theory and Empirical Evidence of China’s Security Market |
| LI Lasheng1,HUANG Xiaoxiang2,CHENG Wen2 |
1. TChina Center for Economic Statistics Research, Tianjin University of Finance and Economics
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Abstract Portfolio management theory indicates that the non-systematic risk can be eliminated through decentralization of well established portfolios, but decentralization has no effect on systematic risk. Faced with security market with very obvious systematic risk as its feature, most investors seek for the investment strategy to beat the market rather than explore the perfect portfolio, which is less significant. Based on the prospect theory of behavioral finance, this paper takes advantage of the connection between the weight function (used in value judgment) and the value function to demonstrate the late-developing advantage of the relative stagflation stocks and proposes an easy and feasible dynamic adjustment strategy of portfolio. It also offers a way to verify the effectiveness of the proposed strategy by adopting the real data of the security markets in China.
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Received: 08 June 2015
Published: 15 January 2016
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Corresponding Authors:
LI Lasheng
E-mail: lilasheng@eyou.com
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2016, Vol. 
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