| Summary: | 碩士 === 中原大學 === 工業與系統工程研究所 === 103 === Modern portfolio theory (MPT) considers that the market is efficient and investors are rational, MPT also agree that investors are prone to make cognitive errors, but there are enough rational investors to correct these pricing mistakes. Therefore market prices are informationally efficient. However, investors may have different perception on the market. This study considers the portfolio optimization problem taking the advantage of price movements of stocks caused by these irrational behaviors while still considering the prospect of the investor. We consider behavioral stock (called B-stock) that can be significantly impacted by over-reaction, and disposition effect of the investors. In addition to applying SP/A theory to assign the weights on the future returns, we consider 6 sets of qs and qp and test with fixed and changing prospect of future return. Based on the historical scenario, we apply a sample mixed integer quadratic program (MIQP) to determine the portfolio that has the most likely chance to have the positive price effect from the B-stocks while the return is within a predetermined loss threshold or aspiration level. This model combines with two-dimensional probability weighting function aim to reflect the personality tendency while considering the objective statistic information the likelihood of irrational behaviors to effect stock prices. This study aims to find the best combination of investment personality and future prospect, considering the effect of irrational behaviors to stock returns, to have a superior portfolio.
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