基于资产负债管理的家庭金融多目标决策研究

发布时间：2018-11-24 13:11

【摘要】：家庭金融是金融学研究的一个新兴领域。综观国内外对家庭金融的研究,相关分析和实证分析较多,对于家庭金融本身的探讨,如家庭金融的本质,家庭金融资产负债形成的机理,资产负债运行的内在机制及资产负债的配置决策等,涉及的还较少。因此,基于资产负债管理的家庭金融决策问题显得尤为重要。目前,针对家庭资产负债综合管理的研究较少,并且多数是定性研究。在资产负债管理研究方面,主要技术方法集中体现在控制利率风险方面,包括现金流测试法、现金流匹配、免疫理论以及动态财务分析方法等,但是基于以上方法的资产负债管理模型在实践中存在一定局限性。因此,本文构建了基于资产负债管理的多目标规划决策模型,综合考虑家庭资产收益目标和偿债能力目标,改善了已有模型单一目标的局限性；同时,引入随机变量概念,替代已有文献把资产收益率当做确定值处理的做法。在决策分析方面,本文采用定性和定量相结合的方法,使预测更具科学性。实例结果显示,家庭能够同时实现资产收益最大化目标和预定的偿债能力目标的资产负债配置。并且,通过实际数据对比,发现模型优化后求得的家庭资产收益要高于实际值,而家庭偿债能力低于实际值,这说明改进后的模型起到了优化家庭资产负债管理决策的作用。
[Abstract]:Household finance is a new field of finance research. At home and abroad, there are many researches on household finance, such as the nature of household finance, the formation mechanism of household financial assets and liabilities. The internal mechanism of assets and liabilities operation and the allocation decision of assets and liabilities are less involved. Therefore, household financial decision-making based on asset-liability management is particularly important. At present, there are few researches on comprehensive management of household assets and liabilities, and most of them are qualitative studies. In the aspect of asset and liability management, the main technical methods include cash flow test, cash flow matching, immune theory and dynamic financial analysis, etc. However, the asset-liability management model based on the above method has some limitations in practice. Therefore, this paper constructs a multi-objective programming decision-making model based on asset liability management, considering the household asset income goal and solvency goal, which improves the limitation of the single objective of the existing model. At the same time, the concept of random variables is introduced to replace the existing literature to treat the asset return as a definite value. In the aspect of decision analysis, the method of qualitative and quantitative analysis is used to make the prediction more scientific. The results show that households can achieve both the goal of maximization of asset income and the allocation of assets and liabilities. Through the comparison of actual data, it is found that the income of household assets after model optimization is higher than the actual value, and the household solvency is lower than the actual value, which shows that the improved model plays an important role in optimizing household assets and liabilities management decision.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42

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