Optimal Portfolio Research Of Individual Considering Deposit And Loan Spreads And Transaction Fee

Compared with institutional investors,individual investors account for a larger proportion in China's securities market.Therefore,this paper mainly studies investors' investment decision-making issues from the perspective of individual investors.There are two main types of individual investors,one is the risk preference type,and the other is the risk aversion type.Risk preference investors tend to invest in some risky assets such as stocks,and even choose to make leveraged investment from bank loans.Risk-averse investors are more willing to purchase bonds or deposit funds in bank accounts.When investing in stocks,investors have to consider the actual market conditions,that is,deposit and loan spreads and transaction fees must be taken into account at the same time,and existing literature often only considers one aspect,based on this,this paper combines deposit and loan spreads and the market conditions of transaction fees comprehensively study individual investor portfolio issues.It is not only the external market conditions such as deposit and loan spreads and transaction fees that affect investors 'investment decisions,but also the funds used by individual investors for investment.There is no investment without funds and it can be said that this is the most realistic,based on this,this paper will consider the optimal portfolio selection of individual investors under the condition of two sources of funds.First,there is only initial investment funds,and there is no foreign income in the investment process.Second,there is foreign income in the investment process.Revenue is mainly the random income obtained by investors through investment in industrial projects,and the Poisson process is used to characterize the external random income part obtained by actual investment.This paper considers the conditions of transaction fees,deposit and loan spreads and foreign income to study the investment decision-making problems of investors,and establishes a model for maximizing the utility of individual investors under the two situations of self-financing and foreign income,using dynamic programming principles and It? formula to derive the HJB equation,combined with the assumption to find the optimal explicit consumption-investment solution in the form of HARA utility function.Finally,the optimal solutions under these two models are numerically simulated and the corresponding economic significance is explained.The conclusion shows that compared with the case where Merton has no transaction fees,the introduction of transaction fees reduces the amount of investment stocks,and thedifferent market conditions are very important for investors to buy or sell short stocks or deposit in bank accounts.Compared with the self-financing model,the income obtained by investing in industrial projects does not affect the investor's investment decision but increases the amount of investment stocks.