Research on Innovation of Internet Finance, Liquidity Preference and Multi-objective Portfolio
Read
DownLoad |
| Title | Research on Innovation of Internet Finance, Liquidity Preference and Multi-objective Portfolio
|
| Author | Luo Sumei, Zhou Guangyou |
| Organization | School of Finance, Shanghai University of Finance and Economics; Institute for Financial Studies, Fudan University |
| Email | luosumei@mail.shfue.edu.cn； |
| Key Words | innovations of Internet finance；liquidity preference； multi-objective portfolio； NSGA-Ⅱ |
| Abstract | The rapid development and continuous innovations of the Internet finance have been changing public’s investment behaviors quietly. Based on the analysis of public’s liquidity preference and investment behaviors in the innovations of Internet finance, this study aims to build a multi-objective portfolio model on the basis of the CRRA maximization of terminal wealth utility and VaR minimization, and to reveal the public’s investment behaviors toward multi-objective portfolio in the Internet finance. And multi-objective optimization NSGA-Ⅱ genetic algorithms is also applied to the model, in order to obtain the optimal combination of Internet financial assets. The study shows that: (1) Internet finance is a kind of "disruptive" innovation, because it causes great impacts to the traditional financial sector and it has changed people's consumption behavior, liquidity preference and portfolio selection meanwhile (2) Internet finance can harmonic contradictions between the risks and returns of traditional financial assets to some extent, and achieve a relatively uniform of "liquidity, profitability and security”. (3) The results of the model shows that investors can combine an Internet financial portfolio with 47.73% of the Internet funds, 14.06% of Internet insurance products, 10.87% of crowd funding, and 27.34% of P2P credit loans, which provides a reference for publics to invest Internet financial assets. |
| Serial Number | WP1000 |
| Time | 2015-12-22 |
|