资产管理中客户偏好的研究——兼论考虑偏好条件下基金的评估

Research of Preference in Asset Management-mutual fund selection under investors' Preference

本文探讨了资产管理中确定客户偏好和根据客户偏好选择最适合客户的资产配置方案的方法 ;并给出一个资产管理中关于波动风险偏好的随机动态模型 ,推广了R .C .Merton( 1 970 )的模型。原模型是关于消费和投资组合的动态经济模型。笔者修改了效用函数和约束方程 ,去掉消费变量并加入波动风险偏好因素 ,得到风险资产的比例和客户波动风险偏好的关系 ,以及和时间偏好之间的关系。最后论述了在考虑投资者偏好条件下 ,证券投资基金的评估方法 ,以及实际案例。

This paper discusses how to quantify investors' preference in order to select the optimal project of asset allocation for them. It also creates a stochastic dynamic model about fluctuant risk preference in asset allocation, which extends the model of R. C. Merton(1970). In my model, utility function and restrict equation are revised, because I analyze the portfolio problem of investors who have some fluctuant risk preference and want to maximize the expected utility of his terminal asset without considering consumption. At last, I discusses the method of mutual fund selection under investors' preference and empirical case.