Portfolio Selection Based on the Investors Heterogeneity and the Price of the Securities Market
Markowitz has provided us with the risk avoidance investors optimal solution in the investment and authenticated that the risk can been diversified by the portfolio.However, only the risk avoidance investors pay attention to the portfolio? Basing on Markowitz mean-variance model paradigm, through fully discussing the optimal solution in the investment for the investors with different risk preference, this paper analyzes the portfolio selection behavior for the three kinds of investors: risk avoidance、 risk indifference and risk seeking.Afterward, it investigates the running characteristics of the securities market and accordingly gives the empirical evidence of Chinese securities market.The results show that: there are the optimal solutions for all kinds of investors in the investment.The risk seeking investors optimal solution is more complicated.The risk indifference investors use ETF tools instead of the market portfolio.Compared with the risk indifference investors little influence to the market, the risk avoidance and risk seeking investors behaviors play an important role in the run of the securities market.Although it is difficult to distinguish the kind of the investors risk preference according to the portfolio selection, Chinese securities markets show a significant risk-seeking characteristics.
Portfolio Risk preference Efficient frontier Indifference curve
Li Lasheng Liu Lei Mao Shuyu
Tianjin University of Finance and Economics, Research Center of China Economic Statistics, Tian Jin, P.R.China 300222
国际会议
The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)
上海
英文
109-119
2011-11-04（万方平台首次上网日期，不代表论文的发表时间）