RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS

doi:10.3934/jimo.2018105

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	RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS
	Chen, Xi 2; Wang, Zongrun 2; Deng, Songhai 3; Fang, Yong1
刊名	JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
	2019-07-01
卷号	15 期号:3 页码:1473-1492
关键词	Perceived risk overconfidence price distribution subjective probability structured financial product
ISSN号	1547-5816
DOI	10.3934/jimo.2018105
英文摘要	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.
资助项目	National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71371194]
WOS研究方向	Engineering ; Operations Research & Management Science ; Mathematics
语种	英语
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
WOS记录号	WOS:000466101700023
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/34697]
专题	系统科学研究所
通讯作者	Chen, Xi; Wang, Zongrun
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Cent S Univ, Sch Business, Changsha, Hunan, Peoples R China 3.Cent S Univ, Sch Math & Stat, Changsha, Hunan, Peoples R China
推荐引用方式 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.