基于相對風(fēng)險厭惡效用的中國家庭消費投資研究：參數(shù)估計與數(shù)值模擬結(jié)合的方法
發(fā)布時間：2018-10-24 08:28
【摘要】：通過三十年的經(jīng)濟改革,中國經(jīng)濟和社會得到了顯著地發(fā)展,使得中國居民的收入水平顯著提高,形成了巨大的家庭資產(chǎn)和財富,在家庭總收入中也占據(jù)了相當(dāng)大的比例,在一些發(fā)達國家金融資產(chǎn)占可支配收入的比例高達40%。因此個人、家庭和社會更加關(guān)注財富的管理,使其資產(chǎn)保值增值,所以在這種情況下研究家庭的消費-投資具有現(xiàn)實意義和理論價值。 家庭資產(chǎn)配置問題是金融學(xué)研究領(lǐng)域的一個熱點。本文以國外相對完備的家庭消費投資數(shù)學(xué)模型為基礎(chǔ),重點對Cocco (2005)數(shù)學(xué)模型的邏輯框架進行分析和梳理,以此作為論文的理論基礎(chǔ)。然后,在Cocco(2005)的理論指引下,采用中國健康與養(yǎng)老追蹤調(diào)查微觀家庭數(shù)據(jù)(CHARLS)進行參數(shù)估計,并據(jù)此分析我國家庭消費-投資的規(guī)律。 通過采用Cocco(2005)邏輯框架和國內(nèi)數(shù)據(jù),本文數(shù)值模擬的主要結(jié)論如下：1.隨著年齡的增長,資產(chǎn)組合中風(fēng)險資產(chǎn)的配置比例逐漸下降；2.投資者的風(fēng)險厭惡程度影響著最優(yōu)風(fēng)險資產(chǎn)的配置；3.家庭收入的變動和金融市場環(huán)境影響著風(fēng)險資產(chǎn)配置；4.遺贈動機影響風(fēng)險資產(chǎn)的投資；5.家庭特征和金融市場環(huán)境顯著地影響家庭收入。
[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.
【學(xué)位授予單位】：貴州財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F126.1;F224
本文編號：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.
【學(xué)位授予單位】：貴州財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F126.1;F224
【引證文獻】
相關(guān)博士學(xué)位論文 前1條
1 韓潔;我國城鎮(zhèn)家庭生命周期資產(chǎn)組合選擇行為的動態(tài)模擬[D];復(fù)旦大學(xué);2008年
，本文編號：2290865
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