創新型房貸對個人最適投資組合之影響

The Impact of Innovated Mortgage Payment on Personal Optimal Asset Allocation

10.30163/BR.200806.0002

鄭駿豪(Chun-Hao Cheng)；張蓓蒂(Betty Chang)；謝企榮(Chi-Jung Hsieh)

房貸支出 ； 勞動所得 ； 最適資產配置 ； 風險趨避 ； Mortgage Payment ； Labor Income ； Optimal Asset Allocation ； Risk Aversion

文大商管學報

13卷1期（2008 / 06 / 01）

1 - 18

繁體中文

由於金融市場工具日趨多元化，個人可以使用創新型房貸以符合其整體效用，因此，本文驗證不同房貸支出對最適資產配置決策的影響，除了發現風險趨避度高的個人，會採取保守的投資策略外，勞動所得與房貸支出之變異性，對風險性資產的配置會產生影響。勞動所得變異的增加會提高個人儲蓄意願，不願持有風險性資產，而變成保守的投資人。另「房貸支出率」與「下期非預期風險性資產報酬」的變異提高，會使勞工增加風險性資產的配置，勞工變得更積極。 由於工作性質的差異，有些工作比較穩定，勞動者一直到退休也不會失業，所以房貸支出是相對穩定，但有些工作變動性相當大，很容易失業，一旦失業即失去所得來源，自然沒有能力調整房貸支出，就模型討論中，愈有可能失業或退休，個人的投資策略愈保守。

Due to the diversification of financial instruments, the labor can use the innovated mortgage payment to maximize personal utility function. We drive the optimal asset allocation by the different mortgage payment, and find that the labors who are more risk aversion tend to take conservative strategy of investment. Because of verities of labor income and mortgage payment, the allocation of risky asset will be different. The labor will increase the tendency of saving from income and be unwilling to hold risky asset, and then become conservative. We also found when the positive correlation between the current mortgage payment and stock returns the labor will increase the risky asset in his portfolio and exhibit more aggressive strategy Because of the different characteristic in professions, some labors can afford mortgage payment persistently. Some labors may lose job in a harsh environment and are not able to pay the mortgage payment. From the scenarios we discussed above, the labor will take conservative strategy when facing unemployment or retirement.

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