摘要
本文基于离散时间的均值-方差模型,系统研究劳动收入风险下的多阶段投资策略。在长期投资组合中考虑投资者所面临的劳动收入风险,构建含有劳动收入风险的多阶段均值-方差模型,并设计改进的遗传算法对模型进行求解,最后通过数值模拟探讨劳动收入风险的引入及变动对多阶段资产选择的影响。研究表明,劳动收入风险的变动对多阶段资产配置具有复杂的影响。当劳动收入风险与风险资产相互独立及正相关时,随着劳动收入风险的增大,投资者会增加无风险资产的投资比例,减少风险资产的持有;当劳动收入与风险资产负相关时,随着劳动收入风险的增加,投资者会增加对风险资产的持有,减少无风险资产的投资比例。
Based on a discrete time mean-variance model,we investigate how multi-period portfolio selection is affected by labor income risk.We construct a multi-period mean-variance portfolio selection model that considers labor income risk.The improved genetic algorithm is used to solve the proposed model and we present the numerical simulation results.The results show that the change in labor income risk has an impact on portfolio selection.In addition,in multi-period models,the impact of labor income risk on asset selection occurs specifically when labor income is positive and irrelevant to risky assets.The higher the risk of labor income,the lower the proportion of risky assets held by investors and the higher the proportion of riskless assets.When labor income is negatively correlated with risky assets,the greater the risk of labor income,the lower the proportion of riskless assets and higher the proportion of risky assets held by investors.Considering the risk factors of labor income in multi-period asset selection can better reflect the risk faced by investors in reality and enable investment groups to make more realistic investment decisions.
作者
王宗润
何博
Wang Zongrun;He Bo(School of Business,Central South University,Changsha 410083,China)
出处
《工业技术经济》
CSSCI
北大核心
2020年第10期153-160,共8页
Journal of Industrial Technological Economics
基金
国家自然科学基金重点项目“面向互联网金融服务平台的结构性理财产品风险测度与集成”(项目编号:71631008)。
