老龄化背景下居民资产配置研究

发布时间：2018-03-07 03:09

本文选题：资产配置　切入点：老龄化　出处：《上海交通大学》2011年硕士论文　论文类型：学位论文

【摘要】：本文基于生命周期投资理论,根据历史数据进行参数校准,分析引入了生存概率背景风险后的居民最优风险资产配置情况,建立最优消费效用投资组合模型,并使用Carroll提出的数值解法进行模型求解,然后对各主要因素进行了敏感性分析,其主要结论有:1)在标准情况下,投资者居民最优风险配置比例随着年龄的增长呈现先上升后下降的态势。2)老龄化与居民最优风险资产配置密切相关。而老龄化体现为生存概率上升。以退休年龄为节点,当生存概率提高以后,相比标准情况居民在退休前最优风险资产配置比例提高,而退休以后,最优风险资产配置比例有所降低; 3)相比标准情况,随着财富的增加,最优风险资产配置比例逐步减少;在相同劳动增长率情况下,初始工资水平越高,其最优风险资产配置比例越高;在相同的初始劳动收入水平下,劳动收入增长率越高,居民最优风险资产权重越大。4)居民最优风险资产配置对股票市场预期收益率非常敏感。股票市场预期收益率提高,最优风险资产配置将提升。5)考虑遗赠之后,退休前最优风险资产配置比例提高,退休后最优风险资产配置比例略有降低。
[Abstract]:Based on the life cycle investment theory and the historical data, this paper analyzes the optimal allocation of the residents' risk assets after introducing the survival probability background risk, and establishes the optimal consumption utility portfolio model. The model is solved by using the numerical method proposed by Carroll, and then the sensitivity of the main factors is analyzed. The main conclusion is: 1) under the standard condition, The proportion of the optimal risk allocation of investors increases first and then decreases with the increase of age. 2) Aging is closely related to the optimal allocation of risk assets of residents, and the aging is reflected in the increase of survival probability, and the retirement age is the node. When the survival probability increases, the proportion of optimal risk asset allocation before retirement increases, and after retirement, the proportion of optimal risk asset allocation decreases; 3) compared with the standard situation, with the increase of wealth, the proportion of the optimal risk asset allocation increases with the increase of wealth. Under the same labor growth rate, the higher the initial wage level, the higher the optimal risk asset allocation ratio; under the same initial labor income level, the higher the labor income growth rate. The bigger the weight of the residents' optimal risk assets. 4) the more sensitive the residents' optimal risk asset allocation is to the expected return rate of the stock market, the higher the stock market's expected return rate is, the higher the optimal risk asset allocation will be. The proportion of optimal risk asset allocation before retirement increased, and the proportion of optimal risk asset allocation decreased slightly after retirement.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832;C924.24;F224

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