关键词: 投资组合, 通胀风险, 损失厌恶, 鞅方法

Abstract: It is well known that inflation risk is an important factor that affects investors' making decisions. Also, the influence of investors' behavioral characteristics on portfolio selec-tions can not be ignored. This paper discusses the problem of optimal behavioral portfolio selection for an individual under inflation risk. At first, in the financial market, we introduce an inflation-linked index bond, which can be used to hedge the inflation risk. Meanwhile, investors are assumed to be loss averse. Thus, we get the optimal individual behavioral portfolio selection model under inflation risk. Then, maximizing the expected utility of the part investor's terminal wealth exceeds the reference level, the explicit solutions for the optimal strategies and terminal wealth are derived by martingale approach, and the properties of optimal strategies are discussed by property analysis and numerical simulation. Finally, the numerical results show that the inflation risk and loss aversion indeed have a significant effect on the optimal strategies.

Key words: portfolio selection, inflation risk, loss aversion, martingale approach