基地研究员任晓航副教授合作论文“Robust portfolio strategies based on reference points for personal experience and upward pacesetters”在重要学术期刊Review of Quantitative Finance and Accounting发表。Journal of Forecasting主要发表理论、实践、计算和方法方面的论文，涉及所有领域的预测：统计学、经济学、心理学、系统工程和社会科学。

摘要：This study explores the concept of reference dependence in decision-making behavior, particularly in the realm of investment portfolios. Previous research has established that an individual’s own circumstances and societal surroundings play a pivotal role in shaping their perception of risk. However, there has been limited exploration into the dynamic nature of reference points in investment decision-making. To address this gap in the literature, the current study is aimed at investigating the performances of relevant dynamic reference points in investment portfolios. In doing so, the personal experience and upward pacesetter reference points are established, and a comparative robust portfolio model incorporating the CVaR measure is utilized. The impacts of different reference behaviors on the proposed portfolio model’s performance are also examined. Furthermore, to enhance the portfolio model’s out-of-sample performance, a scenario formation method that leverages clustering techniques is proposed. The performances of several clustering methods, including classic hierarchical and spectral clustering, as well as reciprocal-nearest-neighbors supported clustering, are compared. The empirical results indicate that the positive behavior of the personal experience reference point yields a better expected return, while the negative behavior exhibits a lower level of risk. Moreover, the results suggest that the utilization of spectral clustering can significantly improve the out-of-sample performance of the proposed robust portfolio model.

关键词：Reference dependence, Investment decision, Portfolio optimization, Clustering techniques

链接：https://doi.org/10.1007/s11156-024-01273-5

作者简介

任晓航，中南大学商学院特聘副教授，Elsevier中国高被引学者，全球前2%顶尖科学家，主要从事能源金融、金融风险、金融计量等方面的研究，在Journal of the American Statistical Association、Transportation Research Part A、Energy Economics、Quantitative Finance、Review of Quantitative Finance and Accounting、International Review of Financial Analysis、Technological Forecasting and Social Change、Business Strategy and the Environment、Pacific-Basin Finance Journal、Applied Energy、Resources Policy、Renewable & Sustainable Energy Review、Energy、管理科学学报（英文版）、系统工程理论与实践、中国管理科学等国内外权威期刊上发表论文一百余篇，其中ESI热点文章/高被引论文三十余篇。担任Sustainable Communities(Taylor & Francis)领域主编，Humanities & Social Sciences Communications（Nature旗下唯一面向人文社会科学的子刊）等期刊副主编，Climate Change Economics, Economic Change and Restructuring等SSCI期刊客座主编。