经济与管理研究2016，Vol.37Issue(8)：52-59,8.DOI:10.13502/j.cnki.issn1000-7636.2016.08.006
基于夏普比率的家庭金融资产配置有效性研究--来自中国家庭金融调查的证据
Validation of Household Finance Portfolio Based on Sharpe Ratio-Evidence from CHFS
摘要
Abstract
According to the statistics of China Household Finance Survey(CHFS)in 2011,Sharpe ratio,the proxy variable,is used to study the impact factors of the validation of household finance portfolio.Through estimated results of the Tobit regression model,the paper demonstrates that the kinds of financial asset,geographical differences,urban families, education and wealth have a positive correlation with the validation of household finance portfolio,while such availability has a negative correlation with the risk of disgust degree and operating activities of hosts.Besides,the study shows that there is an “inverted U”relation between the validation of household finance portfolio and the host's age.It is also found out that,through an economic cycle,Sharpe ratio of stock is lower than other risky financial assets,probably due to great fluctuation of China's stock market.Therefore,some policy suggestions are put forward,including increasing people's income,improving people's education and developing the financial market,which will promote the validation of household finance portfolio.关键词
家庭金融/资产配置/夏普比率Key words
household finance/investment portfolio/sharpe ratio分类
管理科学引用本文复制引用
杜朝运,丁超..基于夏普比率的家庭金融资产配置有效性研究--来自中国家庭金融调查的证据[J].经济与管理研究,2016,37(8):52-59,8.基金项目
国家社会科学基金项目“国际货币体系改革视角下金砖国家金融合作机制研究”（15CJL047）；厦门大学繁荣计划专项项目“居民家庭金融资产配置问题研究” （）
