Portfolio Model Based on Minimax Value-Deviations
Peng Fei · Guanli xuebao · 2004
Psychological and experimental researches showed that investors would pay more attention on gains and losses in invest than on absolute wealth. Based on the alove conclusion and minimax decision-making rule, a minimax value-deviations portfolio model (MMVD) was put forward. A return tradeoff factor was introduced in decision-making theory,and some modifies were made to accord with man's intuition. With the help of the real historical data of Chinese Shangzhen 30 Index, the invest performance of the investors adopting MMVD model were tested to chose securities.