| 我国居民资产配置行为的随机模拟研究 |
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| 引用本文： | 喻开志,邹红.我国居民资产配置行为的随机模拟研究[J].数理统计与管理,2010,29(1). |
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| 作者姓名： | 喻开志 邹红 |
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| 作者单位： | 1. 西南财经大学统计学院,四川,成都,610074
2. 西南财经大学消费经济研究所,四川,成都,610074 |
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| 基金项目： | 西南财经大学“211工程三期”统计学国家重点学科建设项目资助; 西南财经大学“211工程”三期青年教师成长项目(211QN09084); 四川省统计科学研究计划项目(2009SC134); 西南财经大学科研基金资助(07QN26); 西南财经大学创新人才培养基金资助 |
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| 摘 要： | 近两年来,证券市场高涨下的居民资产配置行为备受关注。本文以最优资产选择模型为基础,讨论了2005年7月至2007年5月利率、风险偏好、沪深股市相关性、股市收益波动与居民资产选择的数量关系,采用Monte-Carlo与Bootstrap等方法模拟牛市时期各因素对资产配置行为的影响。研究发现:牛市时期以储蓄存款为主的单一型金融资产结构格局并未改变;从收益率的角度,股市对储蓄的影响比利率大;从风险的角度,利率对储蓄的影响比股市大;利率、沪深股市的之间的相关性大小对居民储蓄投资的影响不容忽视。
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| 关 键 词： | 相关性 利率 股市收益率 股市波动率 随机模拟 |
The Simulative Research of the Family Asset Choice in China |
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| YU Kai-zhi,ZOU Hong.The Simulative Research of the Family Asset Choice in China[J].Application of Statistics and Management,2010,29(1). |
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| Authors: | YU Kai-zhi ZOU Hong |
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| Institution: | YU Kai-zhi~1 ZOU Hong~2 (1.Statistics College,Southwestern University of Finance , Economics,Sichuan Chengdu 610074,China,2.Consumption economics Institute,China) |
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| Abstract: | Over the past two years,lots of people engaged in studing the problem of assets allocation during the period of bull stock Market.On the basis of the optimum asset portfolio model,this paper analyzes quantity relation between family asset choice with interest rates,risk preferences,the relevance of Shanghai and Shenzhen stock markets,stock market volatility and return during July 2005 to May 2007. At the period of bull stock Market,with the methods Monte-Carlo and Bootstrap,the paper simulates the impact on... |
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| Keywords: | correlation interest rate return of stock market volatility of stock market simulation |
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