Abstract:
Based on the Copula function and information entropy principles, Copula-IE risk measure model of securities portfolio under the interaction of mental accounts is constructed in this paper, where the factor of mental accounting is taken into consideration. This model improves the traditional risk measurement model of the behavior portfolio, and provides a new risk measurement model of the behavior portfolio. Through the analysis of the model analysis, we come to the conclusion that: the higher the level of investor expectations, the higher the risk of the decision-making behavior; the stronger or weaker alternative among investor mental accountings makes the risk of the portfolio increased.