基于信息优势的异质投资者资产配置研究

发布时间：2018-06-24 11:29

本文选题：资产配置 + 异质投资者　；参考：《上海交通大学》2014年硕士论文

【摘要】：马洛维兹理论开启了学术界及金融界对资产配置的研宄。之后塞缪尔森提出了生命周期模型，，旨在对投资者整个生命历程效用最优的资产配置进行讨论。随着计算机技术的发展，学术界在经典生命周期模型中加入越来越多的变量，以更加贴近现实生活。但既有文献几乎从未涉及投资者职业的异质性。本文考虑这一异质性，并相应将生命周期模型中的风险资产一分为二，一部分为投资者所在行业股票，另一部分为其他行业股票，探讨投资者随着年龄增长，总财富在消费、储蓄、所在行业股票投资以及其他行业股票投资之间的配置。本文重点在于讨论投资者职业的异质性，根据申万一级行业的收益与风险特征，将投资者的职业划分为四个类别：相对高风险行业，绝对优势行业，相对低收益行业以及绝对劣势行业。而学术界己经用实证证明知情投资者能够获得超额收益，因此投资者对所在行业具有的信息优势，其投资所在行业股票时能够获取超额收益。因此投资者投资所在行业股票具有两面性：一方面，劳动收入与本行业股票收益率存在正相关关系，从风险分散角度来讲，应该低配所在行业股票；另一方面，投资者对所在行业股票的信息优势能够带来超额收益，应该高配所在行业股票。通过建立模型及懫用Carroll数值算法对数据进行分析，得到的主要结论是：（1)投资者应该高配所在行业股票，可见信息优势带来的超额收益的作用大于分散劳动收入风险的影响；（2)信息优势溢价对相对低收益和绝对劣势行业的作用超过了相对高风险和绝对劣势行业。
[Abstract]:Marowitz's theory opens up the study of asset allocation in academic and financial circles. Then Samuelson proposed a life cycle model to discuss the optimal asset allocation of the investor's whole life course utility. With the development of computer technology, more and more variables are added to the classical life cycle model in order to be closer to the real life. However, the existing literature almost never involved the heterogeneity of investor occupation. In this paper, we consider this heterogeneity, and divide the risk assets in the life cycle model into two parts, one is the stocks of the industry in which the investors belong and the other is the stocks of other industries, to explore that the total wealth of the investors is consuming as they grow older. The allocation of savings, stock investments in the industry and stock investments in other industries. This paper focuses on discussing the heterogeneity of investor occupation. According to the income and risk characteristics of Shenwan First-Class Industry, this paper divides the occupation of investors into four categories: relatively high-risk industry, absolute advantage industry, and so on. The relative low-profit industry and the absolute inferiority industry. The academic field has proved that informed investors can get excess returns, so investors have the information advantage to their industry, and they can obtain excess returns when investing in stocks in their industry. Therefore, there are two sides to investing in the stocks in the industry. On the one hand, there is a positive correlation between labor income and the return rate of stocks in the industry. From the point of view of risk dispersion, the stocks in the industry should be lower; on the other hand, The information advantage of investors in their industries can bring excess returns and should be highly matched with stocks in their industries. By establishing the model and using the Carroll numerical algorithm to analyze the data, the main conclusions are as follows: (1) investors should match the stocks in their industries, so the effect of information advantage on excess returns is greater than the effect of dispersing labor income risk; (2) the effect of information advantage premium on relative low profit and absolute inferiority industry is higher than that of relative high risk and absolute inferiority industry.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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