Research On Choice Of Asset Portfolio Based On Different Expectations

The choice of asset allocation for households relies on the theory of portfolio.By analogy with corporate finance,household finance asks how households use financial instruments to attain their objectives(Campbell,2006).The mean-variance model constructed by Markowitz is a good theoretical explanation of "don't put all your eggs in one basket"and gives the optimal portfolio solution for risk-averse families.Tobin further extended the choice of assets among different products in the same market to the choice of different types of assets by introducing risk-free assets,thereby realizing the expansion of portfolios of securities into portfolios of assets.It is not difficult to find out by careful analysis whether Markowitz model or Tobin principle is based on the assumption of independent and identically distributed.The role of arbitrage ensures that investors' expectations are in line with rational expectations.However,a large number of empirical results show that people's expectations in real economic activities do not satisfy rational expectations,but rather follow simple expectations,or extrapolation expectations,or adaptive expectations.Therefore,research on choice of asset portfolio based on different expectations may have more realistic significance and operational value for optimizing the household asset allocation behavior.This paper takes Markowitz's securities portfolio model as the breakthrough point,based on a systematic review of relevant research,and focuses on the serious dependency of the existing portfolio selection model and its optimal solution on the expected variables.From the perspectives of irrational expectations,namely,simple expectations,extrapolation expectations,and adaptive expectations,it explores the construction of asset portfolio models,the nature of efficient frontier curves,and the optimal solution of asset portfolios,and also analyzes the risks that may be caused by different expectations formation methods.It is expected that the risks caused by setting errors can be solved,thus solving the technical obstacles of the portfolio selection model from theory to actual operation.Then,according to the relevant actual data of domestic urban residents'asset allocation,empirical analysis is used to estimate and test the portfolio selection under the different expectations formation pattern,to compare and analyze the efficient frontier curves and its selection results based on the three expectations methods under the M-V paradigm.Research indicates:First,with the continuous improvement of household income and the improvement of the quality of life of urban residents in China,the proportion of financial assets allocated by urban households in the process of asset allocation continues to rise.Second,driven by rising house prices,the preference of urban households for real estate in China has further increased,and there is also an obvious aggregation effect in the selection of asset portfolios.Third,there are significant differences in the optimal portfolio selection of households under different expectations.Fourth,in the selection of urban households'asset portfolio,there is no purely following trend investors who comply with extrapolation expectations.Fifth,when urban households choose funds and real estate for asset allocation,they can obtain higher return on investment.Finally,this paper has proposed relevant policy recommendations for the problem of household asset allocation and asset bubbles in China's urban residents.