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The Optimization Research Of Household Asset Portfolio Decisions Based On Multi Dynamic Programming

Posted on:2017-05-30Degree:MasterType:Thesis
Country:ChinaCandidate:C H LiFull Text:PDF
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Family is the basic unit of the economy, and the household asset allocation behavior directly affects the level of flow efficiency of our social resources and economic development. The reasonable household asset allocation behaviors not only have an impact on supply and demand structure of society, but also promote the sound development of financial and capital markets and effective innovation. With the rapid development of Chinaís economy, the level of household income continues to improve; the household wealth has a rapid growth and the structure of household financial assets have changed greatly. Over the past fifteen years, the level of activity of family involvement in the financial market significantly increased, household financial assets also showed a trend of diversity. In Chinaís economic transition in the context of the reform and development and building a moderately prosperous of the extra period, Households reasonable asset allocation behavior becomes increasingly important.The family as the asset allocation decision-making body, its decision-making behavior canít be static, but has periodic, periodicity and continuity characteristics. This paper studies of the family asset allocation decisions fully integrated feature of family life cycle, establish Epstein-Zin type intertemporal utility function of asset allocation, to construct a theoretical model of intertemporal allocation decisions study of assets, by maximizing the utility function and setting the objective function established assumptions. Then this paper used the method of dynamic programming theory and mathematical derivation to solve the model, then we obtain the optimal decision strategy of household intertemporal asset allocation. As families age (age of household head) increases, the household consumption share of asset allocation showed rising trend, the proportion of household disposable investments in risky assets first and then increased and then decreased, the proportion of household financial assets invested in risky assets reduced after the first rise and finally kept at a constant level. Finally, this paper made a sensitivity analysis the bequest motive, the initial wealth, risk aversion and time discounting article Factor four variables of the model results. The bequest motive had an impact on household allocation decisions after retirement asset. The higher the initial wealth value, the lower the proportion of household asset allocation of risk assets. The effect of risk factor on household consumption decisions is relatively small, but the effect of risk factor on a combination decision of household financial assets in risky assets and risk-free assets is greater. The time discount factor affects family preferences for current and future utility. The smaller the value, the higher the proportion of household consumption, the lower the allocation ratio of financial assets.This study conducted householdís asset allocation behavior in-depth research from a theoretical point of view. Finally, this paper also made prospects for future research. We expect to give some reference for the future development of household financial studies.
Keywords/Search Tags:Dynamic Programming, Intertemporal Asset Allocation, Life cycle, Optimal Decision
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