本文選題：資產配置　切入點：老齡化　出處：《上海交通大學》2011年碩士論文　論文類型：學位論文

【摘要】：本文基于生命周期投資理論,根據歷史數據進行參數校準,分析引入了生存概率背景風險后的居民最優(yōu)風險資產配置情況,建立最優(yōu)消費效用投資組合模型,并使用Carroll提出的數值解法進行模型求解,然后對各主要因素進行了敏感性分析,其主要結論有:1)在標準情況下,投資者居民最優(yōu)風險配置比例隨著年齡的增長呈現先上升后下降的態(tài)勢。2)老齡化與居民最優(yōu)風險資產配置密切相關。而老齡化體現為生存概率上升。以退休年齡為節(jié)點,當生存概率提高以后,相比標準情況居民在退休前最優(yōu)風險資產配置比例提高,而退休以后,最優(yōu)風險資產配置比例有所降低; 3)相比標準情況,隨著財富的增加,最優(yōu)風險資產配置比例逐步減少;在相同勞動增長率情況下,初始工資水平越高,其最優(yōu)風險資產配置比例越高;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)風險資產權重越大。4)居民最優(yōu)風險資產配置對股票市場預期收益率非常敏感。股票市場預期收益率提高,最優(yōu)風險資產配置將提升。5)考慮遺贈之后,退休前最優(yōu)風險資產配置比例提高,退休后最優(yōu)風險資產配置比例略有降低。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2011
【分類號】：F832;C924.24;F224

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本文編號：1577666