投資人偏好與資產配置

Investor's Preferences and Assets Allocation

10.6295/TAMJ.2002.0102.03

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

行為財務學 ； 資產配置 ； 涉險值 ； Behavioral Finance ； Assets Allocation ； VAR

台灣管理學刊

1卷2期（2002 / 03 / 01）

213 - 232

繁體中文

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。

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.

1. Barber,B.M.,Odean,T.(2001).Boys will be Boys: gender, overconfidence, and common stock investment.Quarterly Journal of Economics,116(1),261-292.
2. Barber,B.M.,Odean,T.(2000).The common stock investment performance of individual investors.Journal of Finance,2,773-806.
3. Barber,B.M.,Odean,T.(2001).The internet and the investor.The Journal of Economic Perspectives,15(1),41-54.
4. Barber,B.M.,Odean,T.(1999).The courage of misguided convictions.Financial Analysts Journal,55(6),41-55.
5. Bielecki, T.R.,Pliska, S.R.,Sherris,M.(1998).Risk sensitive asset allocation.Journal of Economic Dynamics and Control 21
6. Bierman, H.(1998).A utility approach to the portfolio allocation decision and the investment horizon.Journal of Portfolio Management,25(1),81-87.
7. Bierman, H. Jr.(1997).Portfolio allocation and the investment horizon.Journal of Portfolio Management,23(4),51-55.
8. Bodie, Z.,Crane,D.B.No/De.(1997).Personal investing advice, theory, and evidence.Financial Analysts Journal,13-23.
9. Bodie, Z.,Kane,A.,Marcus,A.J.(1999).Investments.McGraw-Hill International Editions.
10. Brennan, M.J.,Schwartz,E.S.,R. Lagnado(1997).Strategic asset allocation.Journal of Economic Dynamics and Control,21,1377-403.
11. Chi, T.,Fan ,D.(1997).Cognitive limitations and investment `myopia`.Decision Sciences,28(1),27-57.
12. Eichhorn, D.,Francis,G.,Stubbs,E.(1998).Using constraints to improve the robustness of asset allocation.The Journal of Portfolio Management,Spring,41-48.
13. Fant, L F.,O Neal.,Edward S.(1999).Do you need more than one manager for a given equity style.Journal of Portfolio Management,25(4),68-75.
14. Friend, I.,Blume,M.(1975).The demand for risky assets.American Economic Review,December,900-23.
15. Grinold, R.C.(1999).Mean-variance and scenario-based approaches to portfolio selection.Journal of Portfolio Management,25(2),10-22.
16. Jegadeesh,Narasimhan.(1995).Advances in behavioral finance.Journal of Finance,50(1),396-400.
17. Kahneman, D.,Riepe,M.W.(1998).Aspects of investor psychology.Journal of Portfolio Management,24(4),52-65.
18. Makin,Claire(1995).How to manage your managers.Institutional Investor,29,11-193.
19. Markowitz, H.,I. Friend,J. Bicksler, (eds)(1975).Risk and Return in Finance.Cambridge:
20. Markowitz, H.M.,Felix S.,Tecotzky,N.D.(1999).A more efficient frontier.Journal of Portfolio Management, Special Theme: Derivatives & Risk Management Supplement,May,99-108.
21. Odean,T.(1999).Do investors trade too much.American Economic Review,89(December),1279-1298.
22. Odean,T.(1998).Are investors reluctant to realize their losses.Journal of Finance,53(5),1775-1798.
23. Odean,T.(1998).Volume, volatility, price, and profit when all traders are above average.Journal of Finance,53(6),1887-1934.
24. Olsen, R.A.(1999).Behavioral finance and its implications for stock-price volatility.Financial Analysts Journal,54(2),10-18.
25. Statman,M.(1999).Behavior finance :past battles and future engagements.Financial Analysts Journal,55(6),18-27.

1. 戴允強、廖佩珊(2016)。臺灣金融人員共同基金投資選擇偏好之聯合分析應用。Journal Of Data Analysis，11(1)，99-130。
2. (2006)。產險業海外投資之風險管理方法與應用。保險專刊，22(1)，65-89。