多維度分析下個人資產配置之研究

Abstract

國內銀行日亦蓬勃發展財富管理業務，商品也不斷自國外引進與創新，提供客戶多元化的投資。但在為客戶提供資產配置建議與部位調整之際，多半仍是以總體經濟的數據表現及市場的趨勢走向做為判斷的依據，並未真正落實透過KYC為客戶進行資產配置的服務。 本論文的資產配置架構主要以基金投資為例，分析投資人在股票型及債券型基金的配置上，做為資產配置的根據。藉由總體經濟的外生變數，佐以探討個人資產配置的各項影響因子，包括年齡、性別、居住區域、資產規模、教育程度、職業及婚姻等七大多維度的分析結果，做為個人資產配置的內生變數，再依分析結果，給予權重，建構一套檢視及調整資產組合的管理系統，以降低人性與主觀的偏見，追求風險與效益的最適化，落實「資產配置、控制風險、提高報酬」的積極目的。 本文所提出的影響個人資產配置的假設，不論在總體經濟的外生變數，或個人特質的內生變數，經過實證資料分析，結果多數均符合預期。其中，與原先假設差異較大的是，性別及居住區域兩項因素對資產配置的比例上，並無顯著影響。 透過實證的數據分析，本論文得出投資人的股債比重，在總體經濟的對應下，對股票、債券的偏好影響度各有不同，再依投資人的七大不同維度下，分別給予+2~-2的權數調整後，得出投資人的股票型基金與債券型基金的適合配置比重，區間將會由原來只觀察總體經濟的40%~60%調整至30%~70%。 藉由本文的驗證，未來在實務上，即可利用本文所得到的結論，將總體經濟及各種個人特質融合在一起建構更完善的資產配置管理系統，並隨時得以監管，也更能健全銀行財富管理業務之發展，此也為本研究最大的貢獻。

Over the past years, banks in Taiwan devoted to developing the business of wealth management, and not only imported innovative financial products from overseas markets, but also provided diversified investment services to customers. However, the decision or adjustment of asset allocation was often simply based on current macroeconomic situation, but not taking customers’ personal characters into consideration through KYC (Know Your Customers) procedures, which is already in existence. This study mainly uses quantitative method to understand whether external factors such as macroeconomic indicator, and internal factors such as age, gender, living area, asset size, education, jobs, and marital status, would affect personal asset allocation or not. Then, this study give weights to each correlated factors and try to establish a new formula of asset allocation which is based on both macroeconomic conditions and personal characters. The empirical result shows that six factors, macroeconomic indicator, age, asset size, education, jobs, and marital status, have influence on personal asset allocation as this study hypothesized at the beginning. However, it doesn’t show that the gender and living area would affect the assets allocation. The most important contribution is to establish a comprehensive formula of asset allocation which is based on both macroeconomic conditions and personal characters. It avoid the process of asset allocation being manipulated under pressure or bonus consideration by people and benefit the development in the business of wealth management.