基于生命周期的家庭资产配置模型
摘要
中国近三十年经济改革的重要成就反映在家庭上,即家庭财富数量的不断增长。如何实现居民财产性收入成为社会焦点。家庭金融资产选择的空间逐渐扩大,在不同金融资产之间的选择行为日渐形成。住房体制的改革,家庭资产配置也不仅仅限于金融资产。因此仅仅从储蓄消费的理论来理解家庭的资产状况已经显得非常局限。
本文在已有研究的基础上,从生命周期效用最大化角度研究家庭资产配置行为。建立动态规划模型解释家庭整个生命周期资产配置行为。本文在考虑消费给家庭带来效用问题基础上,综合考虑资产、负债的持有也带来正、负效用问题;在不考虑信贷约束,家庭在具有信贷能力的条件下进行配置资产;由于近年来,房产作为一种投资工具越来越明显,因此本文将房产作为以决策变量纳入模型中。主要通过行为参数反映各国居民家庭资产配置的差异性。
在实证方面,由于国内目前很难找到有关大量家庭资产、劳动收入、家庭结构等信息的面板数据,因而本文利用了美国数据说明相关参数的确定方法以及进行相关参数敏感性分析。而对国内家庭资产配置行为仅从定性角度加以了分析。由于当前中国家庭资产配置行为主要体现在金融资产配置行为上。因而本文从金融资产配置背景,中国家庭金融资产持有量的变化统计,以及约束中国家庭金融资产配置的因素加以分析。
本文在已有动态规划模型的基础上,将房产、金融资产、负债纳入模型,认为这些资产、负债的持有也产生效用。而通过边际效用函数的斜率将反应家庭特性的变量纳入模型,这是在效用函数的应用上的创新。一定意义上讲,利用行为金融的一些思想。通过实证研究,确定家庭资产配置行为参数,是研究方法上的一种尝试。通过对该问题的研究,一方面,有助于家庭更好在不同投资产品之间合理选择比例,以实行财产的保值增值。有助于家庭更好的平滑消费,应对家庭面临的不确定性。另一方面,通过本文的研究,对房地产商、金融机构在提供家庭产品时应考虑的因素提供了一些参考。
The recent thirty year’s economic reform and development in China have resulted in constant family property growth. And the question becomes a social focus as how to realize resident’s property income. For more options exist in family financial asset as well as real estate as non financial asset, it becomes a limited view to consider family asset condition just from saving and consuming theory.
On the basis of existing research, the paper applies the lifecycle effect maximization method to the configuration of family asset research. Different from existing research, the paper also includes the following issues: the influence of asset debt, the configuration of family asset on the condition of sufficient credit ability and the modeling of real estate as an investment tool.
In demonstration research , because it is difficult to find enough date such as family asset, family income, family structure in China, this paper use date in US to carry out sensitivity analysis. And qualitative analysis is exert to the configuration of family asset, mainly financial asset, in China such as background of asset configuration, change in the statistical amount of family financial asset and restriction of family financial asset configuration in China.
On the basis of existing dynamic layout model, this paper also include real estate, financial asset and debt into the model, considering that these factoring also playing a role in the configuration. The model in the paper use slope of marginal utility function as a representation of family trait innovatively. Allocation of parameters in family asset configuration through demonstration research is an invocation in research method. The research in the paper will help family to make a more reasonable investment decision to keep and increase the asset value and to deal with the uncertainty in investment in one hand, and in another, will provide foundation to land agent and financial institution in their production design.
本文在已有研究的基础上,从生命周期效用最大化角度研究家庭资产配置行为。建立动态规划模型解释家庭整个生命周期资产配置行为。本文在考虑消费给家庭带来效用问题基础上,综合考虑资产、负债的持有也带来正、负效用问题;在不考虑信贷约束,家庭在具有信贷能力的条件下进行配置资产;由于近年来,房产作为一种投资工具越来越明显,因此本文将房产作为以决策变量纳入模型中。主要通过行为参数反映各国居民家庭资产配置的差异性。
在实证方面,由于国内目前很难找到有关大量家庭资产、劳动收入、家庭结构等信息的面板数据,因而本文利用了美国数据说明相关参数的确定方法以及进行相关参数敏感性分析。而对国内家庭资产配置行为仅从定性角度加以了分析。由于当前中国家庭资产配置行为主要体现在金融资产配置行为上。因而本文从金融资产配置背景,中国家庭金融资产持有量的变化统计,以及约束中国家庭金融资产配置的因素加以分析。
本文在已有动态规划模型的基础上,将房产、金融资产、负债纳入模型,认为这些资产、负债的持有也产生效用。而通过边际效用函数的斜率将反应家庭特性的变量纳入模型,这是在效用函数的应用上的创新。一定意义上讲,利用行为金融的一些思想。通过实证研究,确定家庭资产配置行为参数,是研究方法上的一种尝试。通过对该问题的研究,一方面,有助于家庭更好在不同投资产品之间合理选择比例,以实行财产的保值增值。有助于家庭更好的平滑消费,应对家庭面临的不确定性。另一方面,通过本文的研究,对房地产商、金融机构在提供家庭产品时应考虑的因素提供了一些参考。
The recent thirty year’s economic reform and development in China have resulted in constant family property growth. And the question becomes a social focus as how to realize resident’s property income. For more options exist in family financial asset as well as real estate as non financial asset, it becomes a limited view to consider family asset condition just from saving and consuming theory.
On the basis of existing research, the paper applies the lifecycle effect maximization method to the configuration of family asset research. Different from existing research, the paper also includes the following issues: the influence of asset debt, the configuration of family asset on the condition of sufficient credit ability and the modeling of real estate as an investment tool.
In demonstration research , because it is difficult to find enough date such as family asset, family income, family structure in China, this paper use date in US to carry out sensitivity analysis. And qualitative analysis is exert to the configuration of family asset, mainly financial asset, in China such as background of asset configuration, change in the statistical amount of family financial asset and restriction of family financial asset configuration in China.
On the basis of existing dynamic layout model, this paper also include real estate, financial asset and debt into the model, considering that these factoring also playing a role in the configuration. The model in the paper use slope of marginal utility function as a representation of family trait innovatively. Allocation of parameters in family asset configuration through demonstration research is an invocation in research method. The research in the paper will help family to make a more reasonable investment decision to keep and increase the asset value and to deal with the uncertainty in investment in one hand, and in another, will provide foundation to land agent and financial institution in their production design.
引文
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[11] Chen, Max. The use of the interest rate spread for forecasting business cycle turning points and asset allocation: A Markov switching approach, 2000 September
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[18] Eichhorn D, Francis G,Stubbs E, Using constraints to improve the robustness ofasset allocation, The Journal of Portfolio Management,1998:41-48
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[20] Fama E F, Multiperiod consumption-investment decisions, American Economic Review, 1970, 60: 163-174
[21] Ferson, Wayne E & Harvey, Campbell R, The Variation of Economic Risk Premiums, Journal of Political Economy, University of Chicago Press, 1999, 2: 385-415
[22] Grauer R R, Hakansson N H, On the use of mean-variance and quadratic approximations in implementing dynamic investment strategies: A comparison of returns and investment policies, Management Science, 1993, 39: 856-871
[23] Hakansson N H, On optimal myopic portfolio policies with and without serial correlation of yields, Journal of Business, 1971, 44: 324-334.
[24] Harvey, Campbell R., Kirsten E. Travers, and Michael J. Costa, Forecasting Emerging Market Returns Using Neural Networks, Emerging Markets Quarterly, 2000
[25] Jin H Q, Yan J A, Zhou X Y, Continuous-time mean-risk portfolio selection , Ann. L’Institut Henri Poncare-Prob. & Stat.,2005.
[26] Kahneman D, Tversky A, Prospect theory: an analysis of decision under risk, conometrica, 1979,47: 263-291
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[31] Lim A E B, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market , Mathematics of Operations Research, 2004, 29:132-161.
[32] Mossin J, Optimal multiperiod portfolio policies , Journal of Business, 1968,41: 215-229
[33] Ostermark R, Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies, European Journal of Operational Research, 1991, 55: 46-56
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[35] Robert J. Shiller, Shiller Comments on Geanakoplos, American Journal of Economics and Sociology,2005, 64: 307-310
[36] Samuelson P, Lifetime portfolio selection by dynamic stochastic programming, The Review of Economics and Statistics, 1969: 50: 239-246.
[37] Skiba, Paige and Jeremy Tobacman , Payday Loans, Consumption Shocks,Discounting, and Over-optimism, Mimeo, UC Berkeley,2005
[38] Steinbach M C, Markowitz revisited: Mean-variance models in financialportfolio analysis, SIAM Review, 2001, 43: 31-85.
[39] Thaler R, Tversky A, Kahneman D, Schwartz A, The Effects of Myopia andLoss Aversion: An Experimental Test, The Quarterly Journal of Economics,1985, (112):647—661
[40] Xu G L, Shreve S E, A duality method for optimal consumption and investment under short-selling prohibition: I. general market coefficients, The Annals of Applied Probability, 1992, 2: 87-112
[41] Zeldes, Stepen , Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence, Quarterly Journal of Economics, 1989,104: 275-298
[42] Zenios S A, Holmer M R, Raymond M, Christiana V-Z, Dynamic model for fixed-income portfolio management under uncertainty , Journal of Economic Dynamics and control,1998, 22: 1517-1541
[43] Zhou X Y, Li D, Continuous time mean-variance portfolio selection: A stochastic LQ framework, Applied Mathematics and Optimization, 2000, 42:19-33
[44] Zhou X Y, Yin G, Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model, SIAM Journal on Control and Optimization, 2003, 42: 1466-1482
[45] Zhu S S, Li D, Wang S Y, Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation , IEEE Transactions on Automatic Control, 2004, 49: 447-457
[46] Ziemba W T, Mulvey J M, Worldwide Asset and Liability Modeling, Cambridge: Cambridge University Press, 1998
[47] Zou, H.-F, The‘Sprit of Capitalism’and Long-Run Growth, European Journal of Political Economy, 1994, 2: 279-293
[48]陈磊,曾勇,基于股市下跌背景下的处置效应研究,金融研究,2005,17:24-29
[49]陈利平,高增长导致高储蓄:一个基于消费攀比的解释,世界经济,2005, 11:3-9
[50]陈南岳,中国过剩二元经济研究,中国经济出版, 2004
[51]程兰芳,中国城镇居民家庭的消费模式分析,统计与决策,2004,4: 53~54
[52]范剑平,居民消费与中国经济发展,中国计划出版社,2000
[53]黄家骅,中国居民投资行为研究,中国财政经济出版社,1998
[54]黄少安,孙涛,非正规制度、消费模式和代际交叠模型,经济研究,2005, 4:57-65
[55]李军,收入差距对消费需求影响的定量分析,数量经济技术经济研究,2003, 9:5-11
[56]李焰,关于利率与我国居民储蓄关系的探讨,经济研究,1999,11:39-46
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[70]赵学军,王永宏,中国股市"处置效应"的实证分析,金融研究, 2001,7:92-97
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[2] Bakshi, Gurdip S. and Zhiwu Chen , The Spirit of Capitalism and Stock-MarketPrices, American Economic Review, 1996, 1:133-157
[3] Barber B M,Odean T, The common stock investment performance of individual investors, Journal of Finance,2000, 2:773-806
[4] Bevan, Andrew and Kurt Winkelmann,Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experience, fixed Income Research, 1998 June
[5] Bielecki T R, Jin H Q, Pliska S R, Zhou X Y, Continuous-time mean-variance portfolio selection with bankruptcy prohibition , Mathematical Finance, 2005
[6] Bodie, Z, Crane D B, Personal investing advice, theory, and evidence, Financial Analysts Journal, No/De.1997, 13-23
[7] Browning, Martin and Annamaria Lusardi, Household Saving: Micro Theories and Micro Facts, Journal of Economic Literature, 1996, 34 :1797-1855
[8] Campbell J Y, Viceira L M,战略资产配置——长期投资者的资产组合选择,上海:上海财经大学出版社(陈学彬等译),2004
[9] Carroll, Christopher D, Why Do the Rich Save so Much? in Does Atlas Shrug? The Economic Consequences of Taxing the Rich, Joel B. Slemrod, eds. Cambridge, MA: Harvard University Press, 2000:463-85
[10] Chen A H Y, Jen F C, Zionts S, The optimal portfolio revision policy, Journal of Business, 1971, 44: 51-61
[11] Chen, Max. The use of the interest rate spread for forecasting business cycle turning points and asset allocation: A Markov switching approach, 2000 September
[12] Clark, Roger G.,Harindra de Silva, State-Dependent Asset Allocation.,Journal of Portfolio Management, 1998, Winter
[13] Dahlquist, Magnus and Campbell R. Harvey, Global Tactical Asset Allocation,The Journal of Global Capital Market, 2001 Spring
[14] Dantzig G B, Infanger G, Multi-stage stochastic linear programs for portfolio optimization, Annals of Operations Research, 1993, 45: 59-76
[15] Dert C, Asset Liability Management for Pension Funds. PhD thesis, Erasmus University, Rotterdam,1995
[16] Du,Rex, A Structural Model of Household Demands over the Lifecycle, University of Georgia,2005
[17] Dumas B, Luciano E.,An exact solution to a dynamic portfolio choice problem under transaction costs, Journal of Finance, 1991, 46: 577-595
[18] Eichhorn D, Francis G,Stubbs E, Using constraints to improve the robustness ofasset allocation, The Journal of Portfolio Management,1998:41-48
[19] Elton E J, Gruber M J,On the optimality of some multiperiod portfolio selectioncriteria, Journal of Business, 1974, 47: 231-243
[20] Fama E F, Multiperiod consumption-investment decisions, American Economic Review, 1970, 60: 163-174
[21] Ferson, Wayne E & Harvey, Campbell R, The Variation of Economic Risk Premiums, Journal of Political Economy, University of Chicago Press, 1999, 2: 385-415
[22] Grauer R R, Hakansson N H, On the use of mean-variance and quadratic approximations in implementing dynamic investment strategies: A comparison of returns and investment policies, Management Science, 1993, 39: 856-871
[23] Hakansson N H, On optimal myopic portfolio policies with and without serial correlation of yields, Journal of Business, 1971, 44: 324-334.
[24] Harvey, Campbell R., Kirsten E. Travers, and Michael J. Costa, Forecasting Emerging Market Returns Using Neural Networks, Emerging Markets Quarterly, 2000
[25] Jin H Q, Yan J A, Zhou X Y, Continuous-time mean-risk portfolio selection , Ann. L’Institut Henri Poncare-Prob. & Stat.,2005.
[26] Kahneman D, Tversky A, Prospect theory: an analysis of decision under risk, conometrica, 1979,47: 263-291
[27] Konno H, Waki H, Yuuki A, Portfolio optimization under lower partial risk measures, Asia-Pacific Financial Markets, 2002, 9: 127-140
[28] Koskosidis, Yiannis A. and Antonio M. Durate, A Scenario-Based Approach to Active Asset Allocation, Journal of Portfolio Management, 1997,Winter
[29] Li D, Ng W L, Optimal dynamic portfolio selection: Multi-period mean-variance formulation, Mathematical Finance, 2000, 10: 387-406
[30] Li X, Zhou X Y, Lim A E B, Dynamic mean-variance portfolio selection with no-shorting constraints, SIAM Journal on Control and Optimization, 2002,40: 1540-1555.
[31] Lim A E B, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market , Mathematics of Operations Research, 2004, 29:132-161.
[32] Mossin J, Optimal multiperiod portfolio policies , Journal of Business, 1968,41: 215-229
[33] Ostermark R, Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies, European Journal of Operational Research, 1991, 55: 46-56
[34] Pliska S R, Introduction to Mathematical Finance, Malden, MA: Basil Blackwell,1997
[35] Robert J. Shiller, Shiller Comments on Geanakoplos, American Journal of Economics and Sociology,2005, 64: 307-310
[36] Samuelson P, Lifetime portfolio selection by dynamic stochastic programming, The Review of Economics and Statistics, 1969: 50: 239-246.
[37] Skiba, Paige and Jeremy Tobacman , Payday Loans, Consumption Shocks,Discounting, and Over-optimism, Mimeo, UC Berkeley,2005
[38] Steinbach M C, Markowitz revisited: Mean-variance models in financialportfolio analysis, SIAM Review, 2001, 43: 31-85.
[39] Thaler R, Tversky A, Kahneman D, Schwartz A, The Effects of Myopia andLoss Aversion: An Experimental Test, The Quarterly Journal of Economics,1985, (112):647—661
[40] Xu G L, Shreve S E, A duality method for optimal consumption and investment under short-selling prohibition: I. general market coefficients, The Annals of Applied Probability, 1992, 2: 87-112
[41] Zeldes, Stepen , Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence, Quarterly Journal of Economics, 1989,104: 275-298
[42] Zenios S A, Holmer M R, Raymond M, Christiana V-Z, Dynamic model for fixed-income portfolio management under uncertainty , Journal of Economic Dynamics and control,1998, 22: 1517-1541
[43] Zhou X Y, Li D, Continuous time mean-variance portfolio selection: A stochastic LQ framework, Applied Mathematics and Optimization, 2000, 42:19-33
[44] Zhou X Y, Yin G, Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model, SIAM Journal on Control and Optimization, 2003, 42: 1466-1482
[45] Zhu S S, Li D, Wang S Y, Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation , IEEE Transactions on Automatic Control, 2004, 49: 447-457
[46] Ziemba W T, Mulvey J M, Worldwide Asset and Liability Modeling, Cambridge: Cambridge University Press, 1998
[47] Zou, H.-F, The‘Sprit of Capitalism’and Long-Run Growth, European Journal of Political Economy, 1994, 2: 279-293
[48]陈磊,曾勇,基于股市下跌背景下的处置效应研究,金融研究,2005,17:24-29
[49]陈利平,高增长导致高储蓄:一个基于消费攀比的解释,世界经济,2005, 11:3-9
[50]陈南岳,中国过剩二元经济研究,中国经济出版, 2004
[51]程兰芳,中国城镇居民家庭的消费模式分析,统计与决策,2004,4: 53~54
[52]范剑平,居民消费与中国经济发展,中国计划出版社,2000
[53]黄家骅,中国居民投资行为研究,中国财政经济出版社,1998
[54]黄少安,孙涛,非正规制度、消费模式和代际交叠模型,经济研究,2005, 4:57-65
[55]李军,收入差距对消费需求影响的定量分析,数量经济技术经济研究,2003, 9:5-11
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