KMS Of Academy of mathematics and systems sciences, CAS
| RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS | |
Chen, Xi1; Wang, Zongrun1; Deng, Songhai2; Fang, Yong3
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| 2019-07-01 | |
| Source Publication | JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
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| ISSN | 1547-5816 |
| Volume | 15Issue:3Pages:1473-1492 |
| Abstract | 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. |
| Keyword | Perceived risk overconfidence price distribution subjective probability structured financial product |
| DOI | 10.3934/jimo.2018105 |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71371194] |
| WOS Research Area | Engineering ; Operations Research & Management Science ; Mathematics |
| WOS Subject | Engineering, Multidisciplinary ; Operations Research & Management Science ; Mathematics, Interdisciplinary Applications |
| WOS ID | WOS:000466101700023 |
| Publisher | AMER INST MATHEMATICAL SCIENCES-AIMS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/34698 |
| Collection | 系统科学研究所 |
| Corresponding Author | Chen, Xi; Wang, Zongrun |
| Affiliation | 1.Cent S Univ, Sch Business, Changsha, Hunan, Peoples R China 2.Cent S Univ, Sch Math & Stat, Changsha, Hunan, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| Recommended Citation 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. |
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