| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 96 === This study explores that how investors of different countries (including developed and emerging market countries) take their age into consideration when they have to allocate their wealth. We also hope to provide government, pension funds, or individual investors a different idea of asset allocation methods which based on life-cycle hypothesis. Here we introduced “Coefficient of Risk Aversion” and “Utility Function of Risk Aversive Investors” to allocate risky asset and risk-free asset. We tried to find out the investment weight of risky asset that will maximize investors’ utility.
Subsequently, we can make a comparison between the forty different countries. See if there is any difference that we could explain.
The main discovery of this study includes:
(1)Under the assumption of the future return of all asset classes are stable, we could see that the return and risk (fluctuation) of age-based methods will decrease as long as the investors’ age increase.
(2) Under the assumption of the investors are all risk aversive, we could see that the investment weight of risky asset will decrease as long as the investors’ age increases. (3) When we compared emerging market countries to developed countries, we found that emerging market investors can take higher risk than developed countries.
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