摘要
相比于机构投资者,个人投资者在中国证券市场的比例较大,因此本文从个人投资者的角度出发,在存贷利率不等的现实市场条件下,研究投资者的投资决策问题.假设有两种投资方式,投资股票和存入银行,当投资股票时允许股票卖空,无论是买入或卖空都存在交易费,把这一因素考虑在内.另外,在现有的文献基础上根据投资于股票的收益率,交易费率和存贷款利率之间的关系,突破性地研究市场状态如何对投资者的投资决策产生影响.通过建立个人投资者的效用最大化模型,运用动态规划原理和Ito公式推导出HJB(Hamilton Jacobi Bellman)方程,并结合假设在HARA(Harmonic Absolute Risk Aversion)效用函数形式下求出最优的消费-投资解.结果表明:与Merton无交易费情形相比,交易费的引入减少了投资股票数,而且不同的市场状态对投资者买入还是卖空股票,或存入银行账户的影响至关重要.
Compared with institutional investors, individual investors have a large proportion of China’s securities market. Therefore, from the perspective of individual investors, the authors study the investment decision-making problem of investors under the real market conditions with different deposit and loan interest rates. Suppose that there are two ways to invest: stocks and deposits in the bank. The factor is taken into consideration that when stock short selling is allowed in stock investment, there are transaction costs for both the buyer and the seller. In addition, based on the existing literature and the relationship between transaction rates and deposit and loan interest rates, this article presents a breakthrough study on how market conditions affect investors’ investment decisions. A utility maximization model of individual investors is established, an HJB equation is derived based on the dynamic programming principle and the Ito formula, and the optimal consumption-investment solution is obtained in the form of HARA utility function. It is concluded that compared to Merton model, the introduction of transaction fees reduces the number of investment stocks, and that different market conditions are critical to the impact on investors buying or selling stocks or depositing in bank accounts. Finally, the conclusions are analyzed by numerical simulation.
作者
郭文旌
葛乃荣
GUO Wen-jing;GE Nai-rong(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China)
出处
《西南大学学报（自然科学版）》
CAS
CSCD
北大核心
2020年第9期134-146,共13页
Journal of Southwest University(Natural Science Edition)
基金
国家自然科学基金资助项目(71471081)
南京财经大学学位与研究生教育课题(Y18005)
南京财经大学教改课题(JGY034).
作者简介
郭文旌(1971-),男,博士,教授,主要从事组合投资与风险管理研究.
