投資人偏好與資產配置

Investor's Preferences and Assets Allocation

陳嘉惠(Chia-Whey Chen) ； 高郁惠(Yu-Whey Kao) ； 劉玉珍(Yu-Jane Liu)

《台灣管理學刊》 1卷2期 (2002/03) Pp. 213-232

https://doi.org/10.6295/TAMJ.2002.0102.03

摘要

本研究由行為財務學角度，探討投資人常犯的認知偏誤，瞭解哪些屬性會影響投資行為。然後再配合投資人偏好與資產配置理論，建構投資組合。本研究實證發現投資人風險趨避程度越高時，無風險資產投資的比重應愈高。效率前緣上的投資組合報酬率和涉險值呈正相關，故欲建構高報酬的投資組合時，可以利用VAR來控管投資組合風險，尤其當投資人偏好電子類股時，應更加注意風險控管。投資人具有簡化分析傾向，資產配置容易遲滯，為了避免暴露在過度風險，投資人於不景氣時期，應提高固定收益證券投資比例，降低電子類股投資比重。

關鍵字

行為財務學 ； 資產配置 ； 涉險值

並列摘要

This paper studies the cognitive biases of investors and the factors that influence investors' behavior. We constructed an assets allocation model to deal with investors' preferences. Empirical results indicate that the more risk averse an individual is, the higher his investment in risk-free assets will be. Returns of portfolios on efficient frontier are positively related to their VAR. This suggests that when trying to build high-return portfolios, investors can use VAR to control and manage portfolio risks. Investors who prefer electronics stocks should all the more pay attention to risk management. Thus, the investor who prefers electronic industry stocks can use VAR to manage portfolio risk. The narrow framing effect will keep investor's portfolio unchanged when the economic state was changing. To avoid being exposed to excessive levels of risk, investors should divest towards fixed-income securities and reduce their position on electronics industry stocks during periods of recession.

並列關鍵字

Behavioral Finance ； Assets Allocation ； VAR

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