基于多目标投资组合理论的家庭金融资产配置实证研究

发布时间：2018-05-02 23:12

本文选题：家庭理财 + 资产配置　；参考：《哈尔滨工业大学》2014年硕士论文

【摘要】：自上世纪七十年代末的改革开放以来，我国社会及经济快速发展，各项经济指标不断在刷新着历史记录。经济发展的同时，我国居民财富也在不断的积累，财富的积累使得居民理财的意识在不断的增强。众所周知，资产如果放在手中不动，随着社会的发展，通货膨胀会使其不断贬值。而如何保存财富，确保财富价值的保持与增长，就是理财意识的来源。为了适应中国经济的快速发展，中国的金融市场同样也在不断的发展变化。股票、债券、银行理财产品等从无到有，人们不再满足于银行存款的利息收入，越来越多的富有家庭开始关注基金、股票、债券等金融产品，为了实现资产的增值保值，居民家庭理财也开始注重金融资产投资的多样化。但是多数家庭是缺乏专业的理财知识的，过于保守全部投资于银行存款，或者过于激进大部分的投于股市都是金融资产配置结构不合理的表现。因此，有必要针对居民家庭理财做出研究。关于家庭财富管理的研究，有很多文献从不同的方向做出研究，消费需求理论、生命周期理论、投资组合优化理论等都是前人努力的结果。通过对这些理论学习之后发现，家庭理财其实主要致力于解决两大问题，一是资产的保值增值，二是如何规划资产使其满足于家庭生活各个阶段的不同需要，这两个问题最终都将通过资产的不同配置方案来解决。本文首先分析目前居民家庭理财投资现状，收集数据，计算金融资产总量、增量和金融相关率三大指标。金融资产整体数量的增长说明我国居民家庭投资于金融市场的财富规模在不断扩大。增量结构的变化说明居民家庭金融资产配置趋于多样化，但是资产配置结构上仍然存在一些问题。金融相关率的不断增长说明居民家庭涉入金融市场越来越深，越来越多的参与金融市场投资。虽然我国金融市场在不断的完善，，投资者投资渠道过窄的问题一直存在，地下金融市场仍然广泛存在就是一个很好的证明。分析居民家庭理财现状之后，本文运用证券投资组合当中多目标投资组合理论来解决居民家庭资产结构配置的问题。多目标投资组合理论是指含有两个及两个以上目标的投资组合理论。本文在均值方差模型的基础之上加入一个市场乐观程度系数构建新的投资组合模型，投资者可以根据自己对市场的判断来做出资产配置的投资决策，并且本文最后计算了三种类型投资者分别在对市场预期的三种不同判断下的九种情况下的投资策略。本文还提出了一些促使居民家庭投资者能够并且愿意优化其金融资产结构的相关建议。
[Abstract]:Since the reform and opening up in the late 1970s, China's society and economy have developed rapidly, and various economic indicators are constantly breaking the historical record. At the same time of economic development, the wealth of residents in our country is also constantly accumulating, and the accumulation of wealth makes the awareness of financial management of residents constantly strengthened. As we all know, if assets remain in their hands, inflation will devalue them with the development of society. And how to preserve wealth, ensure the value of wealth to maintain and increase, is the source of financial awareness. In order to adapt to the rapid development of China's economy, China's financial markets are also constantly changing. Stocks, bonds, bank financial products and so on, people are no longer satisfied with the interest income from bank deposits. More and more rich families begin to pay attention to financial products such as funds, stocks, bonds, and so on, in order to maintain the value of their assets. Household financial management also began to pay attention to the diversification of financial assets investment. But most households lack a professional knowledge of managing money, are too conservative to invest entirely in bank deposits, or are too radical to invest most of their money in the stock market as a sign that the financial asset allocation structure is irrational. Therefore, it is necessary to make research on household finance. On the research of household wealth management, there are a lot of literature from different directions to do research, consumer demand theory, life cycle theory, portfolio optimization theory are the results of previous efforts. After studying these theories, it is found that family finance is mainly devoted to solving two major problems, one is how to maintain and increase the value of assets, the other is how to plan assets to satisfy the different needs of each stage of family life. These two problems will eventually be resolved through different asset allocation schemes. This paper first analyzes the current situation of household financial investment, collects data, calculates the total amount of financial assets, increment and financial correlation rate. The increase of the total number of financial assets indicates that the wealth scale of household investment in financial market is expanding. The change of incremental structure indicates that household financial asset allocation tends to be diversified, but there are still some problems in asset allocation structure. The increasing rate of financial correlation indicates that households are more and more involved in financial market investment. Although the financial market in our country is constantly improving and the problem of too narrow investment channels for investors has always existed, it is a good proof that the underground financial market still exists widely. After analyzing the present situation of household financial management, this paper applies the multi-objective portfolio theory to solve the problem of household asset structure allocation. Multi-objective portfolio theory refers to the portfolio theory with two or more objectives. In this paper, a new portfolio model is constructed based on the mean variance model, which is based on the market optimism coefficient. The investors can make the investment decision of asset allocation according to their own judgment of the market. Finally, the paper calculates the investment strategies of three types of investors under nine different judgments of market expectations. This paper also puts forward some suggestions to encourage household investors to optimize their financial asset structure.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TS976.15;F832.2

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