Dynamic Simulation Of Urban Family Life-cycle Portfolio Choice Behavior

The status of family investment portfolio has experienced dramatic changes worldwide during the last twenty years. According to many micro scaled surveys pioneered by SCF and conducted by agencies in many countries, cash, deposits have declined steadily, but the direct and indirect investment on risk assets like stocks, funds, insurance and pension accounts have experienced great increases. The diversification of family portfolios is on its way, and families are taking a more active role in financial markets.As for our country, the deposits have surpassed 14 trillion by the end of 2005, and the deposits accounts for 88.7% of family held financial assets. Changes have been made in 2006, great progress made on the reformation of the so called equity separation problem and the restart of IPO, all those contribute to the booming of capital market .With unprecedented enthusiasm, the daily newly-opened security trading accounts are consistently breaking history record, and to the contrary, the deposits acceleration is on the down side, and in the latter half year of 2007, it even starts to shrink. Today, economy development and progress of financial markets are making a permanent impact on the investment behavior of people, particular on urban residents. As the micro units of society, family investment behavior make a direct impact on the demand-supply structure of markets, thus the understanding of family assets selection behavior is really important.From the angle of long-term investors many fruitful results have been got based on the intertemporal asset allocation models pioneered by Campbell and other scholars. Family investor are long-term investors , they not only measure their current return and risk , but also make expectations on future return and risk ,and adjust their current assets allocation accordingly. But they are not only long-term investors, especially they have particular life-cycle profile, and constraints and strategies vary according to different stages of their life. Besides, the family members could have cross effects on each other, which complex family investment behavior even more. And based on the intertemporal model, considering the life cycle characteristics of citizens, and making allowance for the housing assets and family intergenerational relations, this paper simulates family assets portfolio selection strategy.The main results got in the paper is to get the optimal asset allocation strategy, and the time variation profile based on the numerical resolution (backward deduction in dynamic programming literature) of a complex life cycle model.The creative points are as follows: This paper firstly gives a quantitative analysis of the urban family asset selection problem based on life cycle theory; It gives an overall analysis of family asset allocation in our country, especially take housing assets into the family investment category; the optimal investment strategy, the influential factors and their effects are studied from both risk status and intergenerational relations.