存在个人非流动性资产的动态金融资产选择

本文建立存在个人非流动性资产的动态资产选择模型，通过解模型得出结论：住房投资占净资产比例越高，股票投资比例越低；最低首付对股票投资与住房投资的关系起决定作用。笔者接着使用SCF数据进行实证分析，结果表明住房投资与股票投资比例具有倒U型关系。深入分析住房投资与股票投资的关系，笔者发现有住房抵押贷款的家庭。在住房占资产净值上升时。股票投资比例降低，相反，没有住房抵押贷款的家庭，在住房占资产净值上升时，股票投资比例增加，这和Takashi Yamashita（2002）的数值模拟分析结论是一致的。

Dynamic Portfolio Choice with Personal Illiquid Assets

We establish a model of dynamic portfolio choice with personal illiquid assets. We solve the model and reach the conclusion: the higher the proportion of real estate in total assets, the lower the proportion of stock holdings. The minimum down payment play important role on stock holdings and real estate investment. Empirical study shows that the relationship between real estate investment and stock holdings takes U shape. We find that, for households with mortgage, when ratio of real estates in total assets increases, investors will decrease the proportion of stock holdings; vice versa. This conclusion is consistent with Takashi Yamashita (2002).