损失厌恶投资者最优消费和投资组合选择理论的研究

发布时间：2018-01-01 13:37

本文关键词：损失厌恶投资者最优消费和投资组合选择理论的研究　出处：《安徽工程大学》2017年硕士论文　论文类型：学位论文

【摘要】：20世纪以来,以资本资产定价模型和现代资产组合理论为基础,标准金融理论确立了在金融经济领域的地位,成为现代金融经济理论的主流。但是,随着金融市场上各种异常现象的累积以及人们对金融异常现象研究的日益重视,标准金融理论受到了很大的挑战。其理论上的日渐完善以及其在实践指导意义上的苍白无力,由此促成了一批力图解释金融异常现象的全新金融理论逐渐兴起,行为金融理论就是其中之一。在行为金融理论中,研究投资者的投资与消费的问题上考虑了人类的心里和行为,这将使得金融理论与实际的沟壑有了弥合的可能。在1979年,Kahneman和Tversky共同提出了"展望理论",使之成为行为金融研究中的代表学说。在展望理论的框架下,研究损失厌恶投资者的投资组合与消费问题使得模型与实际进一步的得到弥补。但是,随着我国经济的发展,经济长期处于通货膨胀阶段,所以在考虑损失厌恶投资者的消费和投资问题上加入通胀因素,这样会使得模型更加符合实际情况,得出的结论更加有现实的经济意义,以及在通胀环境下怎样进行投资和消费才能保证资产不被侵蚀,以达到投资者的最大利益。因此,在损失厌恶投资者的消费和投资组合的研究上加入通胀因素是值得研究的。本文的主要内容是研究通货膨胀对损失厌恶投资者的最优投资和消费的影响,主要有下面四章组成:在第一章中,叙述了现代投资理论的发展以及行为金融理论的兴起,最后介绍了国内外的研究现状。在第二章中,首先利用Ito公式推导出通胀折现后的风险资产的价格过程,再根据折现后的风险资产的价格过程表示出的财富动力学方程以及相应的效用函数建立最大值问题,然后利用鞅方法和对偶技术求出模型的最优消费和最优投资组合的显式解,并且对模型进行数值分析并给出经济学解释,最后考虑由于执行了次最优消费和投资组合选择对投资者的福利产生的影响,所以给出投资者的福利分析。在第三章中,利用原有的模型框架,将投资者的效用函数推广到更一般的扭结HARA效用函数情形下,研究通胀对投资者的最优消费和投资组合的影响,然后利用鞅方法求出投资者的最优消费和投资组合,并且通过数值模拟分析出通胀对消费和投资组合的影响。在第四章中,是对全文的总结与展望,介绍了全文的研究成果,以及文章的不足和改进的方面。
[Abstract]:Since 20th century, based on the capital asset pricing model and the modern portfolio theory, the standard financial theory has established its position in the field of financial economy and become the mainstream of the modern financial economic theory. With the accumulation of various abnormal phenomena in the financial market, people pay more and more attention to the study of the financial anomalies. The theory of standard finance has been greatly challenged. Its theory is becoming more and more perfect and its guidance in practice is weak. As a result, a batch of new financial theories which try to explain the abnormal phenomenon of finance are rising gradually. Behavioral finance theory is one of them. In behavioral finance theory, the human mind and behavior are considered in the study of investors' investment and consumption. This will make it possible to bridge the gap between financial theory and practice. In 1979 Kahneman and Tversky put forward the "outlook theory". In the framework of outlook theory, the study of the portfolio and consumption of loss-averse investors makes the model and practice make up further. With the development of China's economy, the economy is in the stage of inflation for a long time, so the consideration of loss aversion to the consumption and investment of investors to add inflation factors, which will make the model more in line with the actual situation. The conclusions have more realistic economic significance, and how to invest and consume in an inflationary environment to ensure that assets are not eroded in order to achieve the best interests of investors. It is worthwhile to study the effect of inflation on the optimal investment and consumption of loss-averse investors in the study of the consumption and portfolio of loss-averse investors, and the main content of this paper is to study the impact of inflation on the optimal investment and consumption of loss-averse investors. In the first chapter, it describes the development of modern investment theory and the rise of behavioral finance theory, and finally introduces the domestic and foreign research situation. In the second chapter. Firstly, the paper deduces the price process of the risk assets after inflation is discounted by using the Ito formula. Then the maximum value problem is established according to the wealth dynamic equation and the corresponding utility function expressed by the discounted risk asset price process. Then the explicit solution of the optimal consumption and optimal portfolio of the model is obtained by using martingale method and duality technique, and the model is analyzed numerically and the economic explanation is given. Finally, considering the impact of sub-optimal consumption and portfolio selection on the welfare of investors, this paper gives the welfare analysis of investors. In chapter three, the original model framework is used. In this paper, the utility function of investors is extended to a more general kink HARA utility function to study the effect of inflation on the optimal consumption and portfolio of investors. Then using martingale method to find out the optimal consumption and portfolio of investors, and through numerical simulation to analyze the impact of inflation on consumption and investment portfolio. In Chapter 4th, it is a summary and outlook of the full text. This paper introduces the research results of the full text, as well as the shortcomings and improvements of the article.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F830.59

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