北京航空航天大学学报(社会科学版) ›› 2009, Vol. 22 ›› Issue (1): 1-5.

• 论文 •    下一篇

考虑住房因素的中国居民资产配置问题研究

黄凌灵, 刘志新   

  1. 北京航空航天大学 经济管理学院, 北京 100191
  • 收稿日期:2007-09-19 出版日期:2009-03-25 发布日期:2010-05-11
  • 作者简介:黄凌灵(1975-),女,江西临江人,讲师,博士研究生, 研究方向为金融工程.
  • 基金资助:

    教育部新世纪优秀人才支持计划(NCET-050184);国家自 然科学基金项目 (70521001);北航博士创新基金(430263)

Chinese Resident's Asset Allocation in the Presence of Housing

HUANG Ling-, LIU Zhi-xin   

  1. School of Economics and Management,Beijing University of Aeronautics and Astronautics, Beijing 100191, China
  • Received:2007-09-19 Online:2009-03-25 Published:2010-05-11

摘要:

在均值- 方差投资组合选择研究框架下引入住房因素,分析了在不同住房总资产比(h)水平下,中国居民投资组合有效边界以及金融资产的最优配置比例。研究表明,住房的引入改变了中国居民投资组合风险和收益的均衡关系,h值越大,家庭资产的整体风险和收益水平越高;年轻居民的h值较高且资产的流动性约束较强,为降低风险会减少股票的持有,随着年龄的增长h值逐渐下降,居民将提高股票持有比重以获取更高的收益,年老居民的h值较低,资产组合趋于保守,股票占金融资产的比例下降。

关键词: 住房, 资产配置, 有效边界, 均值- 方差

Abstract:

This paper uses a mean-variance portfolio selection framework to examine the Ch inese household's optimal asset allocation in the presence of housing. We analyz e the efficient frontiers and optimal portfolio weights of different constraints on housing to net wealth ratio. Our analysis indicates that housing varies the balance of risk and benefit of portfolio. Household improves the risk and benefi t of his asset with the increase of the value of h. Owing to the high value of h and strong liquidity constraints, young resident reduces stock to finan cial asset ratio. In order to achieve more benefits, the resident increases stoc k to financial asset ratio with the decrease of h. Old resident selects a co nservative asset portfolio, and reduces his stock to financial asset ratio becau se of low value of h.

Key words: housing, asset allocation, efficient frontier, mea n-variance framework

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