基于疏忽的最优投资决策

The Optimal Investment Decision to the Inattentive Behaviour

研究存在获得、吸收和处理信息的成本时代表性消费者的最优消费和投资决策问题,结果显示成本的存在意味着消费者仅选择在特定时间更新其决策,且在两相邻决策日间保持疏忽。这种理性疏忽的行为特征将直接影响投资决策,进而产生有限参与、处置行为和高储蓄率等现象。模型明确了成本、财富水平等因素对于投资者的消费、投资决策的影响途径及程度,为如何针对不同投资群体合理引导其消费、投资行为以及健全资本市场机制、完善多元化金融服务体制提供了具有可操作性的理论依据和政策建议。同时通过比对相关研究结果,侧面论证了中国市场主要以短期疏忽投资者为主,为研究摩擦市场中的资产价格异动及信息时滞下的政策效应提供了新的视角。

Consumption and investment decisions of agents in the presence of costs of acquiring, absorbing and processing information are studied in this paper. As the optimal decision, the agents will choose to ad- just their plans at a pre-set date and keep inattentive between the adjustment. The rational inattentive be- havior will directly affect the investment decision, and makes an interpretation to the limited participation, disposition effect and the high saving rate in the household^s decision-making. It makes clear about the ways and degree of the effect to the investors＂ decision-making by the factors as costs and wealth etc. , and provides a feasible theoretical basis and policy suggestions to how to guide rational behavior of different in- vestors, improve the capital market mechanism, and perfect the diversified financial service system. At the same time, compared to the related research results, it can be found that investors in the domestic market are mainly being short-term inattentive investors, which provides a new way to study the price movements and the effect of policy under information delay.