基于资产异质性的我国居民家庭资产组合选择

发布时间：2018-03-20 22:24

本文选题：资产组合选择　切入点：均值-方差模型　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：1952年,马克维茨提出了投资组合理论,创造了均值-方差的研究范式,从而解决了风险资产选择的最优组合求解问题；1958年,托宾在其基础上,提出了“分离定理”,指出所有投资者都持有相同的风险资产投资组合,投资者的风险偏好决定了最优组合中无风险资产和风险资产组合之间的头寸分配。然而,当托宾将马克维茨的证券投资组合选择扩展至资产组合选择时,其并未脱离马克维茨的均值-方差研究范式。如果说,在马氏模型中,不同的风险证券除收益率与风险外,其他方面均可视为同质产品还能够接受的话,那么,当我们将证券投资组合扩展至资产组合选择时,资产之间的异质性仅归结为收益率与风险的区别恐怕就明显不合适了,与纯金融资产相比,实物资产除具有价值增值的功能外,还具有相应的使用价值,这种使用价值的明显差异却被现有的均值-方差研究范式所忽略。本文将资产使用价值的区别归结为功能性差异,在居民家庭资产选择中对资产功能性差异的评价就体现为资产偏好的异质性,资产的均值与方差和偏好共同决定了居民家庭资产组合选择,对此我们认为,当我们将偏好因素引入资产组合选择时,居民家庭资产组合选择问题可归结为两个层面的决策,第一个层面是实物资产与金融资产的选择,这个层面的选择可依据无差异曲线分析方法来解决；第二个层面是实物资产和金融资产内部细分资产的选择,由于实物资产异质性明显,其内部细分资产的选择可用与第一个层面的分析方法来解决,金融资产内部细分资产的选择则可归入均值-方差研究范式。综合两个层面的选择,就可得到居民家庭最优资产组合。全文由七章组成。第一章—绪论,介绍选题背景和意义,分析本文研究目的,概括全文研究方法和研究内容,阐述文章主要创新点和不足；第二章—文献综述,简要介绍居民家庭资产,分别梳理了国外和国内学者有关居民家庭资产组合选择的文献和研究。第三章—资产组合选择理论,介绍了单期和多期现代资产组合理论,由资产异质性提出现代资产组合理论的缺陷,并分析行为资产组合理论的相关研究。第四章—资产异质性与资产偏好,概述资产异质性几个方面的体现以及我国资本市场上具体资产类型之间的异质性,分析了影响居民家庭资产偏好的因素,并依据显示性偏好理论得出居民家庭资产选择偏好理论。第五章—基于资产偏好的投资组合模型,介绍了居民家庭资产传统最优投资组合模型(CAPM模型),其次基于资产异质性从两个层面构建了居民家庭投资组合模型,即实物资产与金融资产之间以及实物资产内部细分资产之间。最后结合无差异曲线分析方法,采用边际替代率衡量异质性资产之间的选择偏好。第六章—我国居民家庭资产组合选择的经验证据,依据资产收益率数据,求得传统最优投资组合的均衡解；依据资产当期价格和人均新增持量数据分析我国居民家庭资产实际配置的情况；结合资产选择偏好理论从实物资产和金融资产选择的角度测算现行价格体系下我国居民家庭的资产选择偏好。第七章—研究结论和展望,结合上一章经验证据,阐释传统最优投资组合均衡解与居民家庭实际资产配置之间的差异,分析我国居民家庭在资产的均值与方差和异质性资产偏好的共同影响下的资产选择行为,并提出发展建议。
[Abstract]:In 1952, Markowitz proposed investment portfolio theory, created a research paradigm of mean variance, thus solving the optimal combination problem solving portfolio selection; in 1958, Tobin in the foundation, proposed "separation theorem", pointed out that all investors will hold the same portfolio of risky assets, investors risk preference decision the position distribution between risky assets and portfolio risk optimal portfolio. However, when Tobin Markowitz's portfolio selection extended to portfolio selection, which has not been separated from Ma Kewei, the mean variance paradigm. If, in the Markov model, different risk return and in securities risk, other aspects can be regarded as a homogeneous product is also able to accept it, then, when we will be extended to portfolio investment portfolio selection, heterogeneity between assets Only attributed to the return and risk difference would be obviously inappropriate, compared with pure financial assets, real assets in addition to a value-added function, also has the corresponding value, the obvious difference of use value was neglected by the existing mean variance paradigm. This paper will use the difference between the value of assets due to the differences in function, household assets selection evaluation of assets functional differences will reflect the assets preference heterogeneity, assets mean and variance and preferences together determine the household portfolio choice, we believe that when we will be preference factors into portfolio selection, household portfolio choice the problem can be attributed to two aspects of the decision, the first level is the physical assets and financial assets, the level of selection based on indifference curve analysis method Solve; the second level is the real and financial assets are divided within the choice of assets, real assets due to significant heterogeneity, the analysis method of internal subdivision of the choice of assets available with the first level to solve the financial assets, assets internal subdivision selection may be included in the mean variance paradigm. Two aspects of comprehensive selection that can get the optimal portfolio of households. The thesis consists of seven chapters. The first chapter, the introduction, introduces the background and significance of this research, analysis, summary of research methods and research contents of the article, the main innovation points and deficiencies; chapter second: a literature review, brief introduction of household assets, documents and Study on the foreign and domestic scholars about household portfolio choice respectively. In the third chapter, combing the portfolio selection theory, introduced the modern asset group single period and multi theory, The defects of modern portfolio theory by asset heterogeneity is proposed, and the analysis of the relevant research of behavioral portfolio theory. The fourth chapter - Asset heterogeneity and asset preference heterogeneity between the introduction of asset heterogeneity in several aspects of China's capital market specific asset types, analyzes the influencing factors of household assets preference and, according to the revealed preference theory of household asset preference theory. Asset portfolio model based on the preference for the fifth chapter, introduces the traditional household asset portfolio optimization model (CAPM model), then the asset heterogeneity constructed households portfolio model from two aspects: Based on the physical assets and financial assets and real assets assets. Finally combined with the internal subdivision between the indifference curve analysis method, the marginal rate of substitution between assets to measure heterogeneity The choice of preference. The sixth chapter empirical evidence of our choice of household asset portfolio, according to asset return data, the traditional optimal portfolio equilibrium; according to the current price of assets and per capita hold amount of new data analysis the actual configuration of China's household assets; combine the assets preference theory from real assets and selection the financial assets of the measuring point of preference in China household assets current price system. The seventh chapter research conclusion and outlook, combined with the empirical evidence, interpreting the traditional optimal portfolio equilibrium with the difference between the actual household asset allocation, asset selection behavior analysis of influence in China's household assets mean with the variance and heterogeneity of the assets preference under, and puts forward some suggestions.

【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48

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