Efficiency Evaluation and Selection Strategies for Green Portfolios under Different Risk Appetites

Since investors have diverse risk motives for green investments, this paper uses data envelopment analysis (DEA) and simulation to accurately evaluate the efficiency of portfolios from perspective investors’ subjective risks accordingly provide suitable investment selection strategies. On one hand, integrates preferences with evaluation models under framework behavioral finance, then constructs a portfolio model based on cumulative prospect theory basis defining efficiency. other by bringing realistic Chinese stock into solving it help large number iteration DEA, trends frontier movements options influence different are obtained analyzed. The empirical reveals that: (1) if aversion at return rises, will not only reduce expected prospective value portfolio, but also shift down flatten portfolio; indicating that tend their risk-tolerant attitude prefer conservative strategy same condition. (2) If increase risk-seeking in case losses, raise lead an inward steeper frontier; suggesting that, given equal value, risk-taking capacity use aggressive strategies hope turning profit around. (3) results very sensitive changes preferences, need select match own appetite levels. above findings enrich expand types previous studies risk.