中文摘要：

基于投资者情绪理论，从理论模型推导、仿真模拟分析和历史数据检验3个方面探讨认知价格模型及其投资策略。依次构建单向情绪投资者认知价格理论模型和双向情绪投资者认知价格理论模型，通过数理推导得到两类模型资产认知价格的解析表达式。通过仿真模拟和参数分析验证行为金融实验的重要结论，即正向情绪投资者与负向情绪投资者权衡博弈时，正向情绪投资者数量的增加将引致市场平均情绪水平高涨，并最终导致资产价格升高。根据单向情绪投资者认知价格模型设计一套投资策略，利用提出的投资者情绪指数构建优化程序，以上证综指历史数据验证该投资策略的有效性，参数灵敏度分析证明该情绪投资策略赢利率具有稳健性。

英文摘要：

Based on the investor sentiment theory, this paper investigates the sentiment cognitive price models and the investment strategy from three aspects including theoretical model deduction, simulation analysis and historical data inspection. Firstly, this paper establishes the unidirectional sentiment cognitive price model and the bidirectional sentiment cognitive price model, and obtains their price expressions by mathematical induction. Secondly, the numerical simulation and parameter analysis verifies the conclusion of many behavioral finance experiments. That is, when the high sentiment investors gamble with the low sentiment in- vestors, the increase of the numbers of high sentiment investors will lead the market average sentiment level to climb up, and ul- timately cause the asset price to rise up. Finally, this paper designs an investment strategy according to the unidirectional senti- ment cognitive price model. The effectiveness of this investment strategy to Shanghai composite index is validated by using the op- timization procedure for measuring the sentiment. The parameter analysis testifies the steadiness for returns of this investment strategy.