本文選題：資產(chǎn)配置 + 異質(zhì)投資者　； 參考：《上海交通大學(xué)》2014年碩士論文

【摘要】：馬洛維茲理論開啟了學(xué)術(shù)界及金融界對資產(chǎn)配置的研宄。之后塞繆爾森提出了生命周期模型，，旨在對投資者整個(gè)生命歷程效用最優(yōu)的資產(chǎn)配置進(jìn)行討論。隨著計(jì)算機(jī)技術(shù)的發(fā)展，學(xué)術(shù)界在經(jīng)典生命周期模型中加入越來越多的變量，以更加貼近現(xiàn)實(shí)生活。但既有文獻(xiàn)幾乎從未涉及投資者職業(yè)的異質(zhì)性。本文考慮這一異質(zhì)性，并相應(yīng)將生命周期模型中的風(fēng)險(xiǎn)資產(chǎn)一分為二，一部分為投資者所在行業(yè)股票，另一部分為其他行業(yè)股票，探討投資者隨著年齡增長，總財(cái)富在消費(fèi)、儲(chǔ)蓄、所在行業(yè)股票投資以及其他行業(yè)股票投資之間的配置。 本文重點(diǎn)在于討論投資者職業(yè)的異質(zhì)性，根據(jù)申萬一級行業(yè)的收益與風(fēng)險(xiǎn)特征，將投資者的職業(yè)劃分為四個(gè)類別：相對高風(fēng)險(xiǎn)行業(yè)，絕對優(yōu)勢行業(yè)，相對低收益行業(yè)以及絕對劣勢行業(yè)。而學(xué)術(shù)界己經(jīng)用實(shí)證證明知情投資者能夠獲得超額收益，因此投資者對所在行業(yè)具有的信息優(yōu)勢，其投資所在行業(yè)股票時(shí)能夠獲取超額收益。 因此投資者投資所在行業(yè)股票具有兩面性：一方面，勞動(dòng)收入與本行業(yè)股票收益率存在正相關(guān)關(guān)系，從風(fēng)險(xiǎn)分散角度來講，應(yīng)該低配所在行業(yè)股票；另一方面，投資者對所在行業(yè)股票的信息優(yōu)勢能夠帶來超額收益，應(yīng)該高配所在行業(yè)股票。通過建立模型及懫用Carroll數(shù)值算法對數(shù)據(jù)進(jìn)行分析，得到的主要結(jié)論是：（1)投資者應(yīng)該高配所在行業(yè)股票，可見信息優(yōu)勢帶來的超額收益的作用大于分散勞動(dòng)收入風(fēng)險(xiǎn)的影響；（2)信息優(yōu)勢溢價(jià)對相對低收益和絕對劣勢行業(yè)的作用超過了相對高風(fēng)險(xiǎn)和絕對劣勢行業(yè)。
[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.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.91;F224

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