中文摘要：

从行为金融学的角度考虑投资者损失厌恶的心理特征,建立预期效用最大化的动态损失厌恶投资组合优化模型。以我国股票市场为依托,将市场分为上升、下降和盘整三种状态,研究动态损失厌恶投资组合模型的最优资产配置和绩效表现,并与静态损失厌恶投资组合模型、M-V投资组合模型和CVaR投资组合模型进行比较。最后,在具有交易成本的条件下对动态模型进行稳健性检验。得出结论：不同情况下,动态损失厌恶投资者具有不同的最优资产配置比例,且动态损失厌恶投资组合模型明显优于静态模型、M-V投资组合模型和CVaR投资组合模型。

英文摘要：

Considering the psychological characteristics of loss aversion from the perspective of behavioral finance, a dynamic loss aversion portfolio optimization model that maximizes the expected utility is con- structed. Dividing China~s stock market into three states including rise, decline and consolidation, we em- pirically study the optimal asset allocation and performance of the dynamic loss aversion portfolio model is empirically studied comparing it with static loss aversion portfolio model as well as mean-variance and CVaR portfolio models. It is found under different market conditions, dynamic loss aversion investors have different optimal asset allocation ratios. Meanwhile, dynamic loss aversion portfolio model clearly outper- forms static model, mean-variance portfolio model and CVaR portfolio model. The conclusions above can provide investors with advice when making investment decisions.