An Experimental Study On The Inertial Behavior Of Asset Allocation Under Different Market Risk States

Modern asset portfolio theory assumes that investors will consider the return rate and risk comprehensively to allocate their asset portfolios under different market risk states.However,investors in the real financial market often have irrational behaviors such as disposition effect,hot hand effect and herd effect.Behavioral finance combines psychology and economics,and it has become a consensus to study investors' asset portfolio from individual psychology and behavior.Previous studies have shown that individual investors are influenced by previous investment decisions when making economic decisions,and show an inertia to maintain the status quo or delay change in economic behaviors,and define this irrational behavior as status quo bias.The inertial behavior of asset allocation studied in this paper is the external manifestation of status quo bias in individual investors' portfolio construction,and it is the irrational behavior of investors who are insensitive to market risks and maintain their existing portfolios.There are two patterns of asset allocation inertia: participation inertia and adjustment inertia.The former emphasizes whether investors choose to hold a particular asset,while the latter emphasizes whether investors adjust the proportion of their existing portfolio.These two inertial behaviors not only violate the optimization principle of mean-variance theory proposed by Markowitz,but also increase the risk faced by investors.Restricted by the acquisition of research data,this paper adopts the method of securities market experiment to study the behavior of asset allocation.The experiment designed in this paper configures three kinds of investment objects including risk asset X,risk asset Y and risk-free asset RF,and constructs five different risk states by changing the standard deviation of the normal distribution of risk assets X and Y.This article through to the subjects in five different risk conditions with lab behavior analysis of buying and selling securities,mainly to the following conclusion: a common investors to invest in a single risk assets and the investment proportion of the investment ratio is far less than theory involved in inertial behavior,with the increase of experimental periods,the inertial behavior more obvious;Even under the condition of informing the risk change trend of assets X and Y in advance,the subjects were not sensitive to the risk change,and there was no significant difference in the proportion of the subjects' investment in asset Y in the basic experimental group.Investors cannot adjust their asset portfolio according to the equilibrium state of asset portfolio theory.The investment efficiency of asset portfolio is low,and investors will show the irrational behavior of “1/N diversified portfolio bias” to a large extent.Investors do have the habit of adjusting.Under the five risk states,investors will maintain their investment proportion under the influence of previous decisions.Their focus is always on the exogenous price and yield rate formed by the normal distribution,showing a disposal effect of “win or lose”.One novel finding is that investors can reduce the degree of adjustment inertia by learning to enhance their risk perception.In particular,from the perspective of research content,this paper introduces the status quo bias into the asset allocation behavior of individual investors,which promotes the appearance of status quo bias in investment decisions.Look from research methods,this paper constructs the simple risky assets and risk-free asset securities investment market,and through the design of risk assets to obey normal distribution standard deviation instead of a risk,to solve the portfolio risk cannot be measured in the empirical research,the problem of "market information is completely full" condition and individual investors for microscopic data do not have to adjust the proportion of risky assets.