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  本文選題：資產(chǎn)配置　切入點(diǎn)：老齡化　出處：《上海交通大學(xué)》2011年碩士論文　論文類型：學(xué)位論文

【摘要】：本文基于生命周期投資理論,根據(jù)歷史數(shù)據(jù)進(jìn)行參數(shù)校準(zhǔn),分析引入了生存概率背景風(fēng)險后的居民最優(yōu)風(fēng)險資產(chǎn)配置情況,建立最優(yōu)消費(fèi)效用投資組合模型,并使用Carroll提出的數(shù)值解法進(jìn)行模型求解,然后對各主要因素進(jìn)行了敏感性分析,其主要結(jié)論有:1)在標(biāo)準(zhǔn)情況下,投資者居民最優(yōu)風(fēng)險配置比例隨著年齡的增長呈現(xiàn)先上升后下降的態(tài)勢。2)老齡化與居民最優(yōu)風(fēng)險資產(chǎn)配置密切相關(guān)。而老齡化體現(xiàn)為生存概率上升。以退休年齡為節(jié)點(diǎn),當(dāng)生存概率提高以后,相比標(biāo)準(zhǔn)情況居民在退休前最優(yōu)風(fēng)險資產(chǎn)配置比例提高,而退休以后,最優(yōu)風(fēng)險資產(chǎn)配置比例有所降低; 3)相比標(biāo)準(zhǔn)情況,隨著財(cái)富的增加,最優(yōu)風(fēng)險資產(chǎn)配置比例逐步減少;在相同勞動增長率情況下,初始工資水平越高,其最優(yōu)風(fēng)險資產(chǎn)配置比例越高;在相同的初始勞動收入水平下,勞動收入增長率越高,居民最優(yōu)風(fēng)險資產(chǎn)權(quán)重越大。4)居民最優(yōu)風(fēng)險資產(chǎn)配置對股票市場預(yù)期收益率非常敏感。股票市場預(yù)期收益率提高,最優(yōu)風(fēng)險資產(chǎn)配置將提升。5)考慮遺贈之后,退休前最優(yōu)風(fēng)險資產(chǎn)配置比例提高,退休后最優(yōu)風(fēng)險資產(chǎn)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.
【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】：2011
【分類號】：F832;C924.24;F224

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