發(fā)布時(shí)間：2018-01-01 13:37

  本文關(guān)鍵詞：損失厭惡投資者最優(yōu)消費(fèi)和投資組合選擇理論的研究　出處：《安徽工程大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 行為金融 損失厭惡 通貨膨脹 投資組合 消費(fèi) 鞅方法 隨機(jī)分析

【摘要】：20世紀(jì)以來(lái),以資本資產(chǎn)定價(jià)模型和現(xiàn)代資產(chǎn)組合理論為基礎(chǔ),標(biāo)準(zhǔn)金融理論確立了在金融經(jīng)濟(jì)領(lǐng)域的地位,成為現(xiàn)代金融經(jīng)濟(jì)理論的主流。但是,隨著金融市場(chǎng)上各種異�，F(xiàn)象的累積以及人們對(duì)金融異常現(xiàn)象研究的日益重視,標(biāo)準(zhǔn)金融理論受到了很大的挑戰(zhàn)。其理論上的日漸完善以及其在實(shí)踐指導(dǎo)意義上的蒼白無(wú)力,由此促成了一批力圖解釋金融異�，F(xiàn)象的全新金融理論逐漸興起,行為金融理論就是其中之一。在行為金融理論中,研究投資者的投資與消費(fèi)的問(wèn)題上考慮了人類的心里和行為,這將使得金融理論與實(shí)際的溝壑有了彌合的可能。在1979年,Kahneman和Tversky共同提出了"展望理論",使之成為行為金融研究中的代表學(xué)說(shuō)。在展望理論的框架下,研究損失厭惡投資者的投資組合與消費(fèi)問(wèn)題使得模型與實(shí)際進(jìn)一步的得到彌補(bǔ)。但是,隨著我國(guó)經(jīng)濟(jì)的發(fā)展,經(jīng)濟(jì)長(zhǎng)期處于通貨膨脹階段,所以在考慮損失厭惡投資者的消費(fèi)和投資問(wèn)題上加入通脹因素,這樣會(huì)使得模型更加符合實(shí)際情況,得出的結(jié)論更加有現(xiàn)實(shí)的經(jīng)濟(jì)意義,以及在通脹環(huán)境下怎樣進(jìn)行投資和消費(fèi)才能保證資產(chǎn)不被侵蝕,以達(dá)到投資者的最大利益。因此,在損失厭惡投資者的消費(fèi)和投資組合的研究上加入通脹因素是值得研究的。本文的主要內(nèi)容是研究通貨膨脹對(duì)損失厭惡投資者的最優(yōu)投資和消費(fèi)的影響,主要有下面四章組成:在第一章中,敘述了現(xiàn)代投資理論的發(fā)展以及行為金融理論的興起,最后介紹了國(guó)內(nèi)外的研究現(xiàn)狀。在第二章中,首先利用Ito公式推導(dǎo)出通脹折現(xiàn)后的風(fēng)險(xiǎn)資產(chǎn)的價(jià)格過(guò)程,再根據(jù)折現(xiàn)后的風(fēng)險(xiǎn)資產(chǎn)的價(jià)格過(guò)程表示出的財(cái)富動(dòng)力學(xué)方程以及相應(yīng)的效用函數(shù)建立最大值問(wèn)題,然后利用鞅方法和對(duì)偶技術(shù)求出模型的最優(yōu)消費(fèi)和最優(yōu)投資組合的顯式解,并且對(duì)模型進(jìn)行數(shù)值分析并給出經(jīng)濟(jì)學(xué)解釋,最后考慮由于執(zhí)行了次最優(yōu)消費(fèi)和投資組合選擇對(duì)投資者的福利產(chǎn)生的影響,所以給出投資者的福利分析。在第三章中,利用原有的模型框架,將投資者的效用函數(shù)推廣到更一般的扭結(jié)HARA效用函數(shù)情形下,研究通脹對(duì)投資者的最優(yōu)消費(fèi)和投資組合的影響,然后利用鞅方法求出投資者的最優(yōu)消費(fèi)和投資組合,并且通過(guò)數(shù)值模擬分析出通脹對(duì)消費(fèi)和投資組合的影響。在第四章中,是對(duì)全文的總結(jié)與展望,介紹了全文的研究成果,以及文章的不足和改進(jìn)的方面。
[Abstract]:Since 20th century, based on the capital asset pricing model and the modern portfolio theory, the standard financial theory has established its position in the field of financial economy and become the mainstream of the modern financial economic theory. With the accumulation of various abnormal phenomena in the financial market, people pay more and more attention to the study of the financial anomalies. The theory of standard finance has been greatly challenged. Its theory is becoming more and more perfect and its guidance in practice is weak. As a result, a batch of new financial theories which try to explain the abnormal phenomenon of finance are rising gradually. Behavioral finance theory is one of them. In behavioral finance theory, the human mind and behavior are considered in the study of investors' investment and consumption. This will make it possible to bridge the gap between financial theory and practice. In 1979 Kahneman and Tversky put forward the "outlook theory". In the framework of outlook theory, the study of the portfolio and consumption of loss-averse investors makes the model and practice make up further. With the development of China's economy, the economy is in the stage of inflation for a long time, so the consideration of loss aversion to the consumption and investment of investors to add inflation factors, which will make the model more in line with the actual situation. The conclusions have more realistic economic significance, and how to invest and consume in an inflationary environment to ensure that assets are not eroded in order to achieve the best interests of investors. It is worthwhile to study the effect of inflation on the optimal investment and consumption of loss-averse investors in the study of the consumption and portfolio of loss-averse investors, and the main content of this paper is to study the impact of inflation on the optimal investment and consumption of loss-averse investors. In the first chapter, it describes the development of modern investment theory and the rise of behavioral finance theory, and finally introduces the domestic and foreign research situation. In the second chapter. Firstly, the paper deduces the price process of the risk assets after inflation is discounted by using the Ito formula. Then the maximum value problem is established according to the wealth dynamic equation and the corresponding utility function expressed by the discounted risk asset price process. Then the explicit solution of the optimal consumption and optimal portfolio of the model is obtained by using martingale method and duality technique, and the model is analyzed numerically and the economic explanation is given. Finally, considering the impact of sub-optimal consumption and portfolio selection on the welfare of investors, this paper gives the welfare analysis of investors. In chapter three, the original model framework is used. In this paper, the utility function of investors is extended to a more general kink HARA utility function to study the effect of inflation on the optimal consumption and portfolio of investors. Then using martingale method to find out the optimal consumption and portfolio of investors, and through numerical simulation to analyze the impact of inflation on consumption and investment portfolio. In Chapter 4th, it is a summary and outlook of the full text. This paper introduces the research results of the full text, as well as the shortcomings and improvements of the article.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F830.59

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