商业银行高端个人客户群资产配置研究
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摘要
面对发展潜力巨大的中国财富市场,国外的金融机构纷沓而来。中资金融机构尤其是商业银行也纷纷加入到争夺财富市场份额的竞争中。毫无疑问,市场份额的增加得益于高端个人客户的增加。而如何赢得更多的高端个人客户的信赖和忠诚,无论是现在还是将来都是中外资金融机构需要解决的问题。
依据经济学的经济人假设,高端个人客户追求的是既定成本下的收益最大化。不管商业银行的服务形式如何,其立足点应是以追求客户利益最大化为首要口标。资产配置作为投资决策中的重要一环,其对投资收益的影响是巨大的。为使客户的利益最大化,商业银行应向客户提供优质的资产配置服务。而目前国内就高端个人客户群资产配置服务的研究尚不多见,基于此,论文以资产配置为切入点,在充分借鉴前人研究的基础上,对商业银行高端个人客户群的资产配置进行研究,重点研究了以下内容：
(一)商业银行高端个人客户群的资产配置特征。通过问卷调查,利用统计分析方法,就调查问卷所涉及到的高端个人客户的基本特征、风险偏好、投资知识&投资经验、产品结构&投资目标及投资者观点＆自信度五方面进行了统计分析。结果表明,高端个人客户群的年龄大多在50岁以下；主要由专业技术人员、私营企业家及家庭主妇、教师等构成；其财富来源于稳定性收支结余和高成长性资本积累；资产净值大都处在500-1000万人民币之间；大多具有一定的投资知识和投资经验,市场参与度较高；主要持有的资产包括现金存款、股票与丌放开基金、房地产、货币挂钩结构性投资产品、私人股权及实体企业；主要投资目标为长期成长和积极成长,当前投资期限为2-5年；大部分为风险偏好者；对股票、固定收益产品、房地产的未来走势持谨慎态度,自信度处于50%以下。
(二)对商业银行高端个人客户群的资产配置产品进行了分析。通过对不同种类资产的历史收益率数据的分析,可知投资产品的历史收益和其风险相对应,高风险意味着高收益。利用我国2003年4月至2010年7月的9个宏观经济变量和两类资产(股票和国债)的具体数据,运用单位根检验、协整检验、格兰杰因果检验、脉冲响应和方差分解等时间序列分析工具对宏观经济变量与资产配置产品预期收益率间的关系进行了实证研究,证明了在长期通货膨胀因素对资产配置产品的预期收益率影响最大。结合投资时钟理论,指出通货膨胀状态下商业银行高端个人客户群资产配置类别。
(三)构建了商业银行高端个人客户群资产配置模型。由于通货膨胀因素对资产配置产品预期收益影响重大,且由于方差在度量风险上存在不足,在BL模型基础上,引入通货膨胀风险和VaR约束条件,构建了BL-Inflation-VaR资产配置模型。数理证明该模型下某一资产的预期收益为与原始模型相比,该模型证明,通货膨胀因素对资产预期收益的影响来自两方面,一是通货膨胀风险厌恶系数δj,二是通货膨胀风险敏感度βj
(四)商业银行高端个人客户群资产配置的实证检验。结合商业银行高端个人客户群的资产配置特征,选取股票、基金、房地产、黄金、储蓄存款、QDⅡ、大宗商品等资产的历史收益数据,借助Matlab7.0工具,对商业银行高端个人客户群的资产配置进行了实证检验。实证结果表明,与MV模型和BL模型相比,本文所构建模型的方差最小,能更有效地规避通货膨胀风险；同时,该模型也较好地反映了投资者观点。
在前人研究的基础上,论文在以下几方面进行了创新：
(1)独特的研究路径。论文以资产配置为切入点,以高端个人客户群为主导,商业银行为辅助的研究思路来探讨商业银行如何为高端个人客户群提供优质的资产配置服务,最终赢得客户的信赖和支持。这一研究路径与国内目前研究高端个人客户群服务的两种路径有所不同。现有的两种路径为：一是从客户关系管理角度研究高端个人客户群的价值、获得和维护等；二是从私人银行业务角度研究商业银行如何通过服务模式转变、服务内容升级及产品创新来赢得高端个人客户的信赖等。这两种路径的基本思想都是以银行或金融机构的最终利益为主导,高端个人客户为辅助。
(2) BL-Inflation-VaR资产配置模型的构建与实证检验。论文在BL模型的基础上,将通货膨胀因素纳入到原有模型中,构建了新模型,即BL-Inflation模型,并对新模型进行了数理证明；由丁BL-Inflation模型也是在M-V框架下进行资产配置,论文将风险度量指标VaR作为约束条件纳入到BL-Inflation模型中,构建了商业银行高端个人客户群资产配置模型,即BL-Inflation-VaR资产配置模型,并对该模型中的参数确定和模型的应用过程进行了详细说明,深化了国内针对BL模型的研究。此外,论文利用不同类型的资产数据对BL-Inflation-VaR资产配置模型的有效性进行了检验,深化了BL模型的实际应用。
(3)证明了通货膨胀因素对资产预期收益率的影响来自两方面。即通货膨胀风险厌恶系数δ,和通货膨胀风险敏感度β,影响资产预期收益率的大小。当δj<0,βj<0时,与原始模型相比,投资者会预期更高的收益率来弥补通货膨胀风险所带来的潜在损失,-β,的值越大,投资者对资产的预期收益率就越高；当δj<0,βj>0时,与原始模型相比,投资者对资产的预期收益率会降低,βj的值越大,投资者对资产的预期收益率就越低。与上述结论相反,当δj>0,βj<0时,-βj的值越大,投资者对资产的预期收益率就越低；当δj>0,βj>0时,βj的值越大,投资者对资产的预期收益率就越高。
The foreign financial institutions have entered our demestic market to seek for the big opportunities in face of enormous potential wealth market in China.Chinese-funded financial institutions, particularly the commercial banks(herein after called CBs) have to compete for wealth market share.There is no doubt that the increase of market share is due to the increase in high-net worth individuals(herein after called HNWIs). And how to win more HNWIs'trust and loyalty, are the key problem to address for the foreign and Chinese financial institutions at the present and in the future.
The HNWIs pursuit of the maximiztion revenue under the certain cost based on economic assumptions of economic man.No matter how the services forms of CBs are,the starting point of CBs should be to maximize the interests of HNWIs.Asset allocation is one of important parts of investment decisions and it impacts the investment incomes enormously. In order to maximize the benefits of HNWIs, CBs should provide HNWIs with high quality asset allocation services.However,there are a few of research about the asset allocation of HNWIs of CBs.Based on this,the paper starts with the asset allocation and begain to study the asset allocation of HNWIs of CBs on the basis of previous studies.Focusing on the following:
(A) The characteristics of HNWIs of CBs.The paper takes the method of questionnaire and statistical analysis to obtaine the appropriate characteristics of HNWIs in five aspects which are basic features, risk preference,investment knowledge & experience, investment objectives and investor confidence.The characteristics of HNWIs are as follows:most of them are 50 years of age; HNWIs are mainly three types, one is professional and technical personnel, one is private entrepreneurs One is the other type; the wealth of HNWIs is coming from the stability income and expenditure and high growth of capital accumulation;the net value of HNWIs concentrates in between 500-1000 million yuan;most of them have some investment knowledge and investment experience;investment products are including cash deposits, stocks and open-end funds, real estate, currency-linked structured investment products, private equity and corporate entities;the primary investment objective of the HNWIs is long-term growth and positive growth, the investment period is 3-5 years;most of the HNWIs are active investor, and able to bear the risk, risk tolerance is strong; the HNWIs customers are cautious about future trends of the stock, fixed income real estate cautious,the confidence level is 50%.
(B) The study of asset allocation products. By analysis of the benefits of history data of the major investment products, we can see investment products linked to the historical return and risk, high risk means high returns. In view of asset allocation is intended to spread risk, this paper choose the nine macroeconomic indicators and two types of assets to analyse the relationship between them by the empirical methods including unit root test, cointegration test, Granger causality test, impulse response and variance decomposition with domestic data from April 2003 to July 2010. Te result proves that the inflation is the most important macroeconomic factors to the income of investment products in short and long term.According to investment clock,the paper gives the asset allocaiton type of HNWIs of CBs.
(C) Construction the asset allocation model of HNWIs of CBs.On the basis of BL model,the paper take the inflation and constraint of VaR into account and build a new model,named BL-Inflation-VaR asset allocation model.Mathematical test proves that the expected return of ith asset is E(R(?))=[(τΣ)-1+(PτΩ-1)]-1·(τΣ)-1Π+PτΩ-1Q]+(?)δjβj. j=1 Compared with the oridinal model,the new model shows that inflation will impact expected return through two ways,one is risk aversion parameter of inflationδj,another is sensitivity of inflation riskβj.
(D) Empirical test of asset allocation of HNWIs of CBs.Combine with features of HNWIs,the paper selects the stock (Shanghai Composite Index), the Fund (SSE Fund Index), real estate (commercial housing sales price index), gold (spot gold), savings deposits, QDII (Hong Kong's Hang Seng Index), commodities (Reuters CRB index), and other assets to make a empirical test.With Matlab7.6.0 tools,the empirical results show that,the variance of Black-Litterman-Inflation-VaR model is smaller than the M-V model and the BL model.The BL-Inflation-VaR model can more effectively control the risks,meanwhile,the new model reflects the views of investors.
Based on previous research, this paper carried out innovation as the following:
(1)Unique research path.The paper started with the point of asset allocation and discuss how the CBs provided good asset allocation services with HNWIs to win their trust and support.The idea of the paper was the HNWIs were dominant and the CBs were aider.The upsaid research path was different from the current study path in the domestic market.There were two ways to study the services of HNWIs,one was to study the value of HNWIs and how to get them and their maintenance from the point of CRM.Another way was to study how to win the HNWIs by the means of changing services mode,improving the services contents and innovating products from the point of private banking.The same idea of upsaid two paths was that the benefits of CBs were the first and the HNWIs'were the second.
(2)Construction and empirical test of BL-Inflation-VaR asset allocation model.On the basis of BL model,the paper constructed a new model with the inflation risk named BL-Inflation model and made mathematical proof for it.But the new model was in MV framework for asset allocation,the paper took the constraint of VaR into accout and made the asset allocation model of HNWIs of CBs,named BL-Inflation-VaR asset allocation model.The paper made a details of parameter determination and model process.Besides,with data of different types of assets,the paper made a empirical test for the BL-Inflation-VaR asset allocation model and deepen the practical application of the BL model.
(3)Proved that inflation impacted the expected return through two ways, one was risk aversion parameter of inflationδj,another was sensitivity of inflation riskβj.Ifδj<0,βj<0, investors would expect a higher yield to compensate for potential losses arising from inflation risks with the comparision of the original expected return.The higher of -βj was,the higher expected return of investors was;ifδj<0,β>0,the expected return of investors would be reduced with the comparision of the original ones.The biger ofβj was,the smaller expected return of investors was. The results were opposite with the upsaid ones.Ifδj>0,βj<0,;the bigger of -βj was,the smaller expected return of investors was;.Ifδj>0,β>0,the higher ofβj was,the higher expected return of investors was.
依据经济学的经济人假设,高端个人客户追求的是既定成本下的收益最大化。不管商业银行的服务形式如何,其立足点应是以追求客户利益最大化为首要口标。资产配置作为投资决策中的重要一环,其对投资收益的影响是巨大的。为使客户的利益最大化,商业银行应向客户提供优质的资产配置服务。而目前国内就高端个人客户群资产配置服务的研究尚不多见,基于此,论文以资产配置为切入点,在充分借鉴前人研究的基础上,对商业银行高端个人客户群的资产配置进行研究,重点研究了以下内容：
(一)商业银行高端个人客户群的资产配置特征。通过问卷调查,利用统计分析方法,就调查问卷所涉及到的高端个人客户的基本特征、风险偏好、投资知识&投资经验、产品结构&投资目标及投资者观点＆自信度五方面进行了统计分析。结果表明,高端个人客户群的年龄大多在50岁以下；主要由专业技术人员、私营企业家及家庭主妇、教师等构成；其财富来源于稳定性收支结余和高成长性资本积累；资产净值大都处在500-1000万人民币之间；大多具有一定的投资知识和投资经验,市场参与度较高；主要持有的资产包括现金存款、股票与丌放开基金、房地产、货币挂钩结构性投资产品、私人股权及实体企业；主要投资目标为长期成长和积极成长,当前投资期限为2-5年；大部分为风险偏好者；对股票、固定收益产品、房地产的未来走势持谨慎态度,自信度处于50%以下。
(二)对商业银行高端个人客户群的资产配置产品进行了分析。通过对不同种类资产的历史收益率数据的分析,可知投资产品的历史收益和其风险相对应,高风险意味着高收益。利用我国2003年4月至2010年7月的9个宏观经济变量和两类资产(股票和国债)的具体数据,运用单位根检验、协整检验、格兰杰因果检验、脉冲响应和方差分解等时间序列分析工具对宏观经济变量与资产配置产品预期收益率间的关系进行了实证研究,证明了在长期通货膨胀因素对资产配置产品的预期收益率影响最大。结合投资时钟理论,指出通货膨胀状态下商业银行高端个人客户群资产配置类别。
(三)构建了商业银行高端个人客户群资产配置模型。由于通货膨胀因素对资产配置产品预期收益影响重大,且由于方差在度量风险上存在不足,在BL模型基础上,引入通货膨胀风险和VaR约束条件,构建了BL-Inflation-VaR资产配置模型。数理证明该模型下某一资产的预期收益为与原始模型相比,该模型证明,通货膨胀因素对资产预期收益的影响来自两方面,一是通货膨胀风险厌恶系数δj,二是通货膨胀风险敏感度βj
(四)商业银行高端个人客户群资产配置的实证检验。结合商业银行高端个人客户群的资产配置特征,选取股票、基金、房地产、黄金、储蓄存款、QDⅡ、大宗商品等资产的历史收益数据,借助Matlab7.0工具,对商业银行高端个人客户群的资产配置进行了实证检验。实证结果表明,与MV模型和BL模型相比,本文所构建模型的方差最小,能更有效地规避通货膨胀风险；同时,该模型也较好地反映了投资者观点。
在前人研究的基础上,论文在以下几方面进行了创新：
(1)独特的研究路径。论文以资产配置为切入点,以高端个人客户群为主导,商业银行为辅助的研究思路来探讨商业银行如何为高端个人客户群提供优质的资产配置服务,最终赢得客户的信赖和支持。这一研究路径与国内目前研究高端个人客户群服务的两种路径有所不同。现有的两种路径为：一是从客户关系管理角度研究高端个人客户群的价值、获得和维护等；二是从私人银行业务角度研究商业银行如何通过服务模式转变、服务内容升级及产品创新来赢得高端个人客户的信赖等。这两种路径的基本思想都是以银行或金融机构的最终利益为主导,高端个人客户为辅助。
(2) BL-Inflation-VaR资产配置模型的构建与实证检验。论文在BL模型的基础上,将通货膨胀因素纳入到原有模型中,构建了新模型,即BL-Inflation模型,并对新模型进行了数理证明；由丁BL-Inflation模型也是在M-V框架下进行资产配置,论文将风险度量指标VaR作为约束条件纳入到BL-Inflation模型中,构建了商业银行高端个人客户群资产配置模型,即BL-Inflation-VaR资产配置模型,并对该模型中的参数确定和模型的应用过程进行了详细说明,深化了国内针对BL模型的研究。此外,论文利用不同类型的资产数据对BL-Inflation-VaR资产配置模型的有效性进行了检验,深化了BL模型的实际应用。
(3)证明了通货膨胀因素对资产预期收益率的影响来自两方面。即通货膨胀风险厌恶系数δ,和通货膨胀风险敏感度β,影响资产预期收益率的大小。当δj<0,βj<0时,与原始模型相比,投资者会预期更高的收益率来弥补通货膨胀风险所带来的潜在损失,-β,的值越大,投资者对资产的预期收益率就越高；当δj<0,βj>0时,与原始模型相比,投资者对资产的预期收益率会降低,βj的值越大,投资者对资产的预期收益率就越低。与上述结论相反,当δj>0,βj<0时,-βj的值越大,投资者对资产的预期收益率就越低；当δj>0,βj>0时,βj的值越大,投资者对资产的预期收益率就越高。
The foreign financial institutions have entered our demestic market to seek for the big opportunities in face of enormous potential wealth market in China.Chinese-funded financial institutions, particularly the commercial banks(herein after called CBs) have to compete for wealth market share.There is no doubt that the increase of market share is due to the increase in high-net worth individuals(herein after called HNWIs). And how to win more HNWIs'trust and loyalty, are the key problem to address for the foreign and Chinese financial institutions at the present and in the future.
The HNWIs pursuit of the maximiztion revenue under the certain cost based on economic assumptions of economic man.No matter how the services forms of CBs are,the starting point of CBs should be to maximize the interests of HNWIs.Asset allocation is one of important parts of investment decisions and it impacts the investment incomes enormously. In order to maximize the benefits of HNWIs, CBs should provide HNWIs with high quality asset allocation services.However,there are a few of research about the asset allocation of HNWIs of CBs.Based on this,the paper starts with the asset allocation and begain to study the asset allocation of HNWIs of CBs on the basis of previous studies.Focusing on the following:
(A) The characteristics of HNWIs of CBs.The paper takes the method of questionnaire and statistical analysis to obtaine the appropriate characteristics of HNWIs in five aspects which are basic features, risk preference,investment knowledge & experience, investment objectives and investor confidence.The characteristics of HNWIs are as follows:most of them are 50 years of age; HNWIs are mainly three types, one is professional and technical personnel, one is private entrepreneurs One is the other type; the wealth of HNWIs is coming from the stability income and expenditure and high growth of capital accumulation;the net value of HNWIs concentrates in between 500-1000 million yuan;most of them have some investment knowledge and investment experience;investment products are including cash deposits, stocks and open-end funds, real estate, currency-linked structured investment products, private equity and corporate entities;the primary investment objective of the HNWIs is long-term growth and positive growth, the investment period is 3-5 years;most of the HNWIs are active investor, and able to bear the risk, risk tolerance is strong; the HNWIs customers are cautious about future trends of the stock, fixed income real estate cautious,the confidence level is 50%.
(B) The study of asset allocation products. By analysis of the benefits of history data of the major investment products, we can see investment products linked to the historical return and risk, high risk means high returns. In view of asset allocation is intended to spread risk, this paper choose the nine macroeconomic indicators and two types of assets to analyse the relationship between them by the empirical methods including unit root test, cointegration test, Granger causality test, impulse response and variance decomposition with domestic data from April 2003 to July 2010. Te result proves that the inflation is the most important macroeconomic factors to the income of investment products in short and long term.According to investment clock,the paper gives the asset allocaiton type of HNWIs of CBs.
(C) Construction the asset allocation model of HNWIs of CBs.On the basis of BL model,the paper take the inflation and constraint of VaR into account and build a new model,named BL-Inflation-VaR asset allocation model.Mathematical test proves that the expected return of ith asset is E(R(?))=[(τΣ)-1+(PτΩ-1)]-1·(τΣ)-1Π+PτΩ-1Q]+(?)δjβj. j=1 Compared with the oridinal model,the new model shows that inflation will impact expected return through two ways,one is risk aversion parameter of inflationδj,another is sensitivity of inflation riskβj.
(D) Empirical test of asset allocation of HNWIs of CBs.Combine with features of HNWIs,the paper selects the stock (Shanghai Composite Index), the Fund (SSE Fund Index), real estate (commercial housing sales price index), gold (spot gold), savings deposits, QDII (Hong Kong's Hang Seng Index), commodities (Reuters CRB index), and other assets to make a empirical test.With Matlab7.6.0 tools,the empirical results show that,the variance of Black-Litterman-Inflation-VaR model is smaller than the M-V model and the BL model.The BL-Inflation-VaR model can more effectively control the risks,meanwhile,the new model reflects the views of investors.
Based on previous research, this paper carried out innovation as the following:
(1)Unique research path.The paper started with the point of asset allocation and discuss how the CBs provided good asset allocation services with HNWIs to win their trust and support.The idea of the paper was the HNWIs were dominant and the CBs were aider.The upsaid research path was different from the current study path in the domestic market.There were two ways to study the services of HNWIs,one was to study the value of HNWIs and how to get them and their maintenance from the point of CRM.Another way was to study how to win the HNWIs by the means of changing services mode,improving the services contents and innovating products from the point of private banking.The same idea of upsaid two paths was that the benefits of CBs were the first and the HNWIs'were the second.
(2)Construction and empirical test of BL-Inflation-VaR asset allocation model.On the basis of BL model,the paper constructed a new model with the inflation risk named BL-Inflation model and made mathematical proof for it.But the new model was in MV framework for asset allocation,the paper took the constraint of VaR into accout and made the asset allocation model of HNWIs of CBs,named BL-Inflation-VaR asset allocation model.The paper made a details of parameter determination and model process.Besides,with data of different types of assets,the paper made a empirical test for the BL-Inflation-VaR asset allocation model and deepen the practical application of the BL model.
(3)Proved that inflation impacted the expected return through two ways, one was risk aversion parameter of inflationδj,another was sensitivity of inflation riskβj.Ifδj<0,βj<0, investors would expect a higher yield to compensate for potential losses arising from inflation risks with the comparision of the original expected return.The higher of -βj was,the higher expected return of investors was;ifδj<0,β>0,the expected return of investors would be reduced with the comparision of the original ones.The biger ofβj was,the smaller expected return of investors was. The results were opposite with the upsaid ones.Ifδj>0,βj<0,;the bigger of -βj was,the smaller expected return of investors was;.Ifδj>0,β>0,the higher ofβj was,the higher expected return of investors was.
引文
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