earticle

영어

Portfolio is the core issue of financial investment. This article discusses the dynamic behavioral portfolio in an evolutionary perspective. This paper first give the market selection equation as a measure of the investor market evolution level to replace the mental account of investors return, considering the impacts of heterogeneous investors to the asset return, this paper establish an adaptation GARCH model to express the dynamic evolution of asset return and risk. And considering the non-linear relationship among assets, this paper chose Clayton Copula function to put the risk of each asset into a single unified security mental account, and establish the VaR model to control investment risk and obtained the optimal weights of behavioral portfolio in each investing period. Last this paper implemented the model of the dynamic behavioral portfolio based on the market evolution in the historical data, and gave the comparison results of the dynamic behavioral portfolio based on the market evolution, to the mean-variance model and the minimum variance model. Empirical result shows that the dynamic behavioral portfolio based on the Market Evolution has a very good investment effects.