資本市場與消費及投資組合的最優(yōu)選擇.pdf

1、復旦大學碩士學位論文資本市場與消費及投資組合的最優(yōu)選擇姓名：高阿山申請學位級別：碩士專業(yè)：企業(yè)管理指導教師：孔愛國2002.5.20AbstractThechoiceofalloptimalconsumptionandportfoliodecisionsisaclassicprobleminfinancialeconomicsThispaperintendstogiveadetailedtheoreticalandpraticalexp

2、lorationinthissubjectSection1introducesthesimplestproblemwewouldliketosolveInasingleperiodsetting，whenthereisnochancetoexchangeintertemporalconsumption，optimalindividualconsumption／investmentselectionisthepointoftangency

3、fromequi—utilitycurvetoproductionopportunitycurveAtthatpointMRS=MRTSectionIImakesafurtherdiscussiononconditionthatcapitalmarketexistsWhenonlyrisk—freefinancialmarketisavailable，individualoptimalselectionpointconvertsinto

4、thepointoftangencyfromequiutilitycurvetomarketexchangecurveWhenthemarketisperfect，individualutilitywillbeimprovedonceagainSamuelson(1969)andMerton(1969)formulatedandsolvedthemany—periodgeneralization，correspondingtolifet

5、imeplanningofconsumptionandinvestmentdecisionsSection1IIanalyzessomeimportantinfluentialfactorsindecidinganoptimalselectionIndividualconsumptionwillnotfollow“randomwalk”ifinterestratechangesWhenriskyassetsaretakenintocon

6、sideration，wewillfindthatinterestrate’schangewillsurelyinfluenceoptimalindividualconsumptionmadportfoliodecisionthroughdifferentriskaversionlevelIndividualutilityfunction’sthirddegreederivativemaybepossive，andfutureincom

7、eisuncertainCombinationofthesetwofactswillreduceindividualcurrentconsumptionLiquidityconstraintswillalsoaffectindividualoptimalselectionsSectionIVexplainstheconsumptionbasedcapitalassetpricingmodelItisoneofthemostbeautif

8、ultheoreticalresultsinmodernfinancialeconomicsUnfortunatelylittleempiricalevidencehasbeenfoundtosupportthestandardtheoreticalmodelThebestknownempiricalfailureoftheconsumptionbasedCAPMistheequitypremiumpuzzledocumentedbyM

9、ehraandPrescott(1985)TheessenceofthepuzzleisthattheequitypremiumistoolargetobejustifiedwithaplausibleriskaversionlevelWhile，thedatafromChina’scapitalmarketandconsumptionmarketisnotefficient，tooSectionVpointsouttheeconomi

10、csignificanceoftheoptimalindividualselecticl、analysesChina’scapitalmarket’sflaws，andgivessomemeaningfulsuggestionsKeywords：utilitymaximization，consumptionandportfolin，perfectmarketconsumption—basedcapitalassetpricingmode