| In China,residents have to face the financial needs of pension,medical care,children’s education,housing,insurance,housing loans and so on.In the current diversified and complex financial market environment,in order to maintain and increase the value of financial assets,commercial banks are mainly relied on to achieve financial management.However,after regulatory authoritiespromulgating the "new regulations on assets management" in 2018,the traditional expected income-based financial products will gradually withdraw from the market,replaced by net value-based financial products,which puts forward higher management requirements for retail customer asset management of commercial banks in the future,especially in the current individual investors rely on institutional investors which have the professional,scale and net value smoothing mechanism to share market investment advantages.Judging from the maturity of wealth management in the global emerging markets,China is still in the early stage of development,the market environment has not really opened up to competition,and the diversification of asset allocation model is relatively single.For commercial banks,although facing the same policy background,they need to accept the opportunities and challenges brought by the new competitive environment and their own changes.In addition to professional institutions and teams to do a good job in large-class asset allocation,how to manage the small-class asset allocation of retail customers is a sound response.Restricted by the limited input of manpower,material resources and financial resources of commercial banks,not all retail customers are included in the management of wealth advisers,so the distinction between "customer with management" and "customer without management" is made,but some problems have been found in the practice of work: 1.If there is little difference in assets allocation between "customer with management" and "customer without management",what are the characteristics of the asset allocation behavior of " customer with management " and how does it affect the ratio between high-risk assets and low-risk assets in asset allocation? How to explain it from the perspective of economic and financial theory? 2.At present,commercial banks will classify the service level of retail customers from the absolute amount of financial assets.Generally,they are divided into private banking customers(AUM 8 million RMB or more),wealth customers(AUM 1-8 million RMB)and ordinary customers(AUM 1 million RMB or less),and different types of retail customers have great differences in asset allocation structure.The contribution of non-interest income varies from person to person,so what is the difference between the investment psychology and investment style of the three types of customers from the perspective of loss aversion in behavioral finance? If the financial market is divided into sections,the overall sentiment of the financial market is different.Is there a big difference between the "equilibrium market","bull market" and "bear market" to study the investment sentiment or investment psychology? Or is there any difference among the three types of customers? 3.In the practice of commercial banks,the retail contribution(or non-interest income,NII)of the three types of customers varies with their asset allocation structure.Then,how does the different investment sentiment or investment psychology affect the retail contribution and what are the differences among the three types of customers?It is of certain theoretical and practical significance to study the asset allocation behavior of retail customers of commercial banks.On the one hand,theoretically speaking,since Tversky and Kahneman established the theory of prospect value,loss aversion has become an important theoretical basis and tool for explaining anomalies and compensating for the deficiency of mean-variance asset allocation theory in the financial field,but there are few related fields to bank customers’ asset allocation behavior.On the other hand,from a practical point of view,China’s capital management industry has entered the 3.0 era,how commercial banks allocate large-class assets,how retail customers allocate small-scale assets,and how banks and customers cooperate in asset allocation.Settlement is a proposition that needs to be considered urgently.Especially under the policy guidance of net-value financial management requirements,the study on the investment behavior of retail customers of sample commercial banks in past net-value financial management will be helpful to do a better job in investing psychology of retail customers in the future,serve customers better,improve investment emotional quotient and through assets allocation creates more value.In view of the above problems,this paper combines with work practice,through the construction of loss aversion asset allocation model for empirical analysis.Based on the monthly data from July 2012 to June 2017,the retail customers who purchased the products of ICBC Finance No.1 independently for a long time were divided into private banking customers,wealth customers and ordinary customers according to their daily financial assets.The data were obtained through official channels such as ICBC CS2002 data system and Winds information data.The original data are processed according to the needs of model construction and operation.The logic of analysis consists of five steps: parameter setting,model construction,model application,analysis results and conclusion discussion.Firstly,we select endowment effect,regret aversion,overconfidence,gambler fallacy and bounded rationality as the main investment psychology,radical,moderate and conservative as the main investment style,and set up a static scene and eight dynamic scenarios as the analysis framework;secondly,we construct a nonlinear loss aversion asset allocation model,and through the two planning law solves the optimal asset allocation ratio and the corresponding investment psychology and investment style in each period;finally,it establishes a linear regression model with the non-interest income of commercial banks,solves the significant variables affecting the non-interest income,and puts forward the corresponding policy construction for the retail customer management and asset allocation of commercial banks.The main conclusions of this paper are as follows: 1.Nonlinear loss aversion asset allocation model(NLA)can more truly reflect the loss aversion of large losses than small losses in the degree of retail customers "bother" characteristics,loss aversion and high-risk asset holdings are inversely related;2.Private banking customers have higher investment performance than other customers,from the point of view of behavioral finance,mainly due to high initial wealth,high market sensitivity,strong ability of active management,conservative investment style,high frequency of investment,extreme investment psychology and other factors.Especially in the dynamic situation of hesitation in investment psychology,private banking customers often make investment decisions contrary to other clients,but wealth customers and ordinary customers are relatively limited investment funds in an attempt to "speculative" benefit,but the overall level of tactical asset allocation is not high;3.In a balanced market,private banking customers investment psychology amplitude broad,bull market,three types of retail customers are generally lack of extreme value psychology,in a bear market,the investment psychology of private banking customers began to fluctuate again,but the extreme value of investment psychology of wealth customers and ordinary customers was opposite and single;4.From the analysis of non-interest income impact,wealth customers were the lowest,combined with asset allocation behavior,the reason may lie in the excessive self-confidence and radicalism of wealth customers leading to continuous shrinkage of high risk assets,while ordinary customers continue to move into low-risk assets after the market falls;5.Radical investment style has a significant impact on non-interest income of commercial banks,similar to investment psychology,different types of retail customers have different influence direction and degree;in addition,the level of wealth determines the "bargaining power".The return of commercial banks’ contribution to high-end and medium-end customers is normal,especially in the "ladder" expected returns and management fee returns,which lead to different non-interest earnings in the same financial market.This paper is based on the work practice,compared with previous research results,there are three innovations: 1.Theoretically,an analysis model of investor’s investment psychology and investment style is established;in the previous analysis of investor’s investment psychology and style,most of them are descriptive display of the current changes in asset allocation structure.The relationship between investment mentality and investment mentality has not further clarified the relationship between investment psychology and style,high and low risk asset allocation structure,and there are only endowment effect and overconfidence two kinds of investment mentality model setting.This paper invests five kinds of investment: endowment effect,regret aversion,overconfidence,gambler fallacy and limited rationality.Psychology is defined by the dynamic changes of investment profit and loss,loss aversion coefficient and reference point rate of return,and a combination analysis framework of one static scene,eight dynamic scenes and three investment styles is established.After solving the theoretical optimal value by quadratic programming method,it matches the actual value and finally obtains a certain value.The investment psychology of the time point(section)and the investment psychological change chart of the whole research period.This is a theoretical extension of the nonlinear loss aversion asset allocation model(NLA)and a contribution to the experimental method of behavioral finance theory.2.The research on the influence of investment psychology and investment style changes on the non-interest income of commercial banks has been broadened.There are few studies on retail customers in the past.It involves real account data and guides practical work through data mining and theory combination.Through the work practice and data mining on retail customer management in the past five years,this paper further improves the data quality and utilization value on the basis of previous research.3.The method insists on classifying and comparing in practice.From the perspective of comparative analysis of three types of customers: private bank customers,wealth customers and ordinary customers,this paper assumes that there are differences in asset allocation behavior between retail customers with different wealth levels,from savings deposits to financial assets,from asset allocation to investment psychology,and from wealth.From level to contribution level,from bear market to bull market and other analysis dimensions have been studied and discussed,which is also an innovation in the method of combining theory with practice. |
