基于相对风险厌恶效用的中国家庭消费投资研究：参数估计与数值模拟结合的方法
发布时间：2018-10-24 08:28
【摘要】：通过三十年的经济改革,中国经济和社会得到了显著地发展,使得中国居民的收入水平显著提高,形成了巨大的家庭资产和财富,在家庭总收入中也占据了相当大的比例,在一些发达国家金融资产占可支配收入的比例高达40%。因此个人、家庭和社会更加关注财富的管理,使其资产保值增值,所以在这种情况下研究家庭的消费-投资具有现实意义和理论价值。 家庭资产配置问题是金融学研究领域的一个热点。本文以国外相对完备的家庭消费投资数学模型为基础,重点对Cocco (2005)数学模型的逻辑框架进行分析和梳理,以此作为论文的理论基础。然后,在Cocco(2005)的理论指引下,采用中国健康与养老追踪调查微观家庭数据(CHARLS)进行参数估计,并据此分析我国家庭消费-投资的规律。 通过采用Cocco(2005)逻辑框架和国内数据,本文数值模拟的主要结论如下：1.随着年龄的增长,资产组合中风险资产的配置比例逐渐下降；2.投资者的风险厌恶程度影响着最优风险资产的配置；3.家庭收入的变动和金融市场环境影响着风险资产配置；4.遗赠动机影响风险资产的投资；5.家庭特征和金融市场环境显著地影响家庭收入。
[Abstract]:After 30 years of economic reform, China's economy and society have developed significantly, resulting in a marked increase in the income level of Chinese residents, forming huge household assets and wealth, and accounting for a large proportion of the total household income. Financial assets account for as much as 40 percent of disposable income in some developed countries. Therefore, individuals, families and society pay more attention to the management of wealth and make their assets keep and increase in value. Therefore, it is of practical significance and theoretical value to study household consumption-investment in this case. The problem of household asset allocation is a hot topic in the field of finance. Based on the relatively complete mathematical model of household consumption and investment abroad, this paper analyzes and combs the logical framework of Cocco's (2005) mathematical model as the theoretical basis of the paper. Then, under the guidance of Cocco (2005), the parameters are estimated by using the micro-household data (CHARLS) of China Health and Old-age tracking Survey, and the rules of household consumption-investment in China are analyzed accordingly. By using Cocco (2005) logical framework and domestic data, the main conclusions of this numerical simulation are as follows: 1. With the increase of age, the allocation of risky assets in the portfolio gradually decreased; 2. 5%. The degree of risk aversion of investors affects the allocation of optimal risk assets; 3. The change of household income and financial market environment affect the allocation of risky assets. The bequest motivation affects the investment of risk assets. Family characteristics and financial market environment significantly affect household income.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F126.1;F224
本文编号：2290865
[Abstract]:After 30 years of economic reform, China's economy and society have developed significantly, resulting in a marked increase in the income level of Chinese residents, forming huge household assets and wealth, and accounting for a large proportion of the total household income. Financial assets account for as much as 40 percent of disposable income in some developed countries. Therefore, individuals, families and society pay more attention to the management of wealth and make their assets keep and increase in value. Therefore, it is of practical significance and theoretical value to study household consumption-investment in this case. The problem of household asset allocation is a hot topic in the field of finance. Based on the relatively complete mathematical model of household consumption and investment abroad, this paper analyzes and combs the logical framework of Cocco's (2005) mathematical model as the theoretical basis of the paper. Then, under the guidance of Cocco (2005), the parameters are estimated by using the micro-household data (CHARLS) of China Health and Old-age tracking Survey, and the rules of household consumption-investment in China are analyzed accordingly. By using Cocco (2005) logical framework and domestic data, the main conclusions of this numerical simulation are as follows: 1. With the increase of age, the allocation of risky assets in the portfolio gradually decreased; 2. 5%. The degree of risk aversion of investors affects the allocation of optimal risk assets; 3. The change of household income and financial market environment affect the allocation of risky assets. The bequest motivation affects the investment of risk assets. Family characteristics and financial market environment significantly affect household income.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F126.1;F224
【引证文献】
相关博士学位论文 前1条
1 韩洁;我国城镇家庭生命周期资产组合选择行为的动态模拟[D];复旦大学;2008年
，本文编号：2290865
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