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