Consumption and investment portfolio decision-making method and system

Abstract

The invention provides a consumption and investment portfolio decision-making method and system, and the method is characterized in that the method comprises the steps: S1, obtaining the housing property of an object according to the current state data; s2, according to the housing property and the current state data, constructing a selection set which corresponds to the object and comprises a plurality of different options; s3, calculating a housing consumption selection utility value of each housing consumption selection in the selection set; s4, selecting utility values according to the consumption of each housing, and calculating through a Probit discrete decision model to obtain a housing consumption optimal decision; step S5, according to the housing consumption optimal decision, calculating to obtain a general consumption selection utility value of each general consumption selection; and S6, selecting a utility value according to each general consumption, and carrying out calculation through a Probit discrete decision model to obtain a general consumption optimal decision. In a word, the method can generate an optimal housing consumption decision and a general consumption decision.

Description

Technical Field

[0001] The present invention belongs to the field of artificial intelligence automatic planning, and in particular relates to a consumption and investment portfolio decision-making method and system. Background Art

[0002] The basis of modern portfolio theory is the mean-variance model, which describes the basic principles and methods for determining the investment return and risk level of risky assets. This method cannot systematically consider the different income, wealth and consumption characteristics of people at different stages of their lives, and therefore cannot systematically plan people's investment and consumption portfolio strategies. The life cycle approach believes that rational consumers will use their lifetime income and arrange their lifetime consumption and investment according to the principle of maximizing utility. Under the guidance of this method, based on the limited resources available and the uncertainty of future information, investment portfolio and consumption problems can be described as dynamic programming optimization problems of discrete choices. The biggest obstacle to solving this type of problem is calculation, because this method requires traversal calculation of all possible spatial points. When it is necessary to integrate high-dimensional variables to solve the probability of an event, the calculation becomes very complicated. In addition, the introduction of risk factors will make the state space infinitely expand over time. When the state space dimension is very high or the selection set is very large, the amount of calculation may become extremely large and cannot be solved, which is called the "curse of dimensionality" problem.

[0003] In order to deal with the computational problems caused by large choice sets and high-dimensional state spaces, simplified methods can be divided into two categories. The first category of methods is based on non-complete solutions, such as using other utility values ​​to replace the utility values ​​corresponding to the choice sets in the future period and unrelated to the endogenous parameters that need to be estimated to simplify the calculation. The second category of methods is based on complete solutions, which simplifies the calculation by finding utility equations that are easy to solve and simplify, or by finding approximate solutions to the complete solution, such as replacing the expected value optimal solution with the selected optimal solution, and obtaining an approximate solution by increasing the number of discrete periods to simplify the state space.

[0004] The disadvantage of the above two methods is that when the state space has high-dimensional and multi-dimensional uncertainty risk factors and the individual's choice set is large, any simplified method alone cannot solve the problem that cannot be solved when the calculation is too complex and the amount of calculation is very large. Summary of the invention

[0005] The present invention is made to solve the above problems, and aims to provide a consumption and investment portfolio decision-making method and system.

[0006] The present invention provides a consumption and investment portfolio decision method, which is used to obtain the current corresponding housing consumption optimal decision and general consumption optimal decision according to the current state data of the object, and has the following characteristics, including the following steps: step S1, according to the current state data, obtain the housing nature of the object, the housing nature is a tenant, an owner of a self-occupied house, or an owner of a self-occupied house and an investment house; step S2, according to the housing nature and the current state data, construct a selection set corresponding to the object containing multiple different selection items, the selection items including housing consumption selection and general consumption selection; step S3, calculate the housing consumption selection utility value of each housing consumption selection in the selection set; step S4, according to each housing consumption selection utility value, calculate the probability corresponding to each housing consumption selection through a Probit discrete decision model, and select the housing consumption selection with the largest probability as the housing consumption optimal decision; step S5, according to the housing consumption optimal decision, calculate the general consumption selection utility value of each general consumption selection; step S6, according to each general consumption selection utility value, calculate the probability corresponding to each general consumption selection through a Probit discrete decision model, and select the general consumption selection with the largest probability as the general consumption optimal decision.

[0007] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, general consumption choices have a different levels, housing consumption choices consist of b rental levels, c owner-occupied housing levels and c×d investment housing levels, d being the number of investment housing levels, and when the housing nature of the object is a tenant, a selection set consisting of b rental levels and c owner-occupied housing levels comprises a×(b+c) options; when the housing nature of the object is an independent homeowner, a selection set consisting of b rental levels, c owner-occupied housing levels and c×d investment housing levels comprises a×(b+c+c×d) options; and when the housing nature of the object is an investment homeowner, a selection set consisting of b rental levels, c owner-occupied housing levels and c×d investment housing levels comprises a×(b+c+c×d) options.

[0008] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, step S3 includes the following sub-steps: step S3-1, calculating the remaining financial assets corresponding to each option based on the budget equation and the selection set; step S3-2, obtaining the optimal expected utility value of the next period corresponding to each option by reverse recursive solution based on the selection set and the remaining financial assets; step S3-3, calculating the general consumption utility value of each option; step S3-4, calculating the optimal expected utility value corresponding to each housing consumption option based on the general consumption utility value and the optimal expected utility value of the next period; step S3-5, calculating the housing consumption option utility value corresponding to each housing consumption option based on the optimal expected utility value and the number of housing services.

[0009] The consumption and investment portfolio decision method provided by the present invention may also have the following features: When the housing property of the object is a tenant, the expression of the budget equation is: t =S t-1 R f,s +L t (1-τ y ), Where W t is the total wealth of individuals in period t, S t-1 is the remaining financial assets in period t-1, R f,s For financial assets S t-1 The rate of return, L t is the labor income of the subject in period t, τ y is labor income L t The corresponding tax rate, C t is the general commodity consumption in period t, S t is the remaining financial assets in period t, is the rental level j in period t k The corresponding rental expenditure, when the housing property of the subject is the owner of the house, the expression of the budget equation is: If j o′ ≠j o , then I b =1,I s =1, otherwise I b =0,I s =0, where H t-1 (j o ) is the owner-occupied housing grade j in period t-1 o The corresponding value of the owner-occupied housing is is the property appreciation rate, H t-1 (j o )I s φ s is the owner-occupied housing grade j in period t-1 o The corresponding real estate selling cost, is the remaining loan amount in period t-1, R f is the loan interest, H t (j o′ )φ u +φ d ) is the owner-occupied housing grade j o The use cost and depreciation cost of the owner-occupied housing, H t (j o′ )φ b For owner-occupied housing level j o The selling cost of the owner-occupied house, For owner-occupied housing level j oThe net investment value of the owner-occupied housing, H t (j k )(φ u +φ d +I b′ φ b ) is the investment property grade j k The use cost, depreciation cost and purchase fee of the investment house, H t (j k )a is the investment property gradej k Investment property rental of investment property, For investment housing grade j k The net investment value of the investment house, when the housing nature of the object is the owner of the investment house, the expression of the budget equation is: If j' o ≠j o , then I b =1,I s =1, otherwise I b =0,I s =1, where H t-1 (j k ) is the investment house grade j in period t-1 k The investment value of the investment property, is the property appreciation rate, is the remaining loan amount for investment housing in period t-1, R f For loan interest.

[0010] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, in step S3-2, based on the selection set and the remaining financial assets, the optimal expected utility value of the next period of the known options in the state space corresponding to the selection set is obtained by reverse recursive solution, and based on the optimal expected utility value of the next period of the known options, spatial interpolation is used to solve the optimal expected utility value of the next period of the unknown options.

[0011] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, in step S3-3, the calculation expression of the general consumption utility value is: Where u(C t |X') is the level that includes general consumption options, which is C t is the general consumption utility value of the option, ψ is the preference coefficient of general commodity consumption over housing consumption, and γ is the risk preference level.

[0012] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, in step S3-4, the calculation expression of the optimal expected utility value is: In the formula For housing consumption selection The optimal expected utility value of The corresponding set of all options, u(C t |X t ) is the general consumption utility value corresponding to a certain option in set c, β is the utility conversion ratio of current utility to future use, EV t+1 (X t+1 |X t ,C t ,H t (j o ),H t (j k )) is the optimal expected utility value of the next period corresponding to a certain option in set c.

[0013] The consumption and investment portfolio decision-making method provided by the present invention may also have the following features: wherein, in step S3-5, the calculation expression of the housing consumption choice utility value is: Where u(R(j r ),R(j o ),H(j k )) is the rental level j r , owner-occupied housing level is j o And the investment property grade is j k The housing consumption choice utility value corresponding to the housing consumption choice is lnΣ c exp{u(C t |X t )+βEV t+1 (X t+1 |X t ,H t (j o ),H t (j k ),C t )}} is the optimal expected utility value corresponding to the housing consumption choice, is the amount of housing services consumed in period t, j o ,j k Represents the number of rooms owned by owner-occupied houses and investment houses respectively.

[0014] The consumption and investment portfolio decision method provided by the present invention may also have the following features: wherein, in step S4, the calculation expression of the probability corresponding to the housing consumption selection is: In the formula, is the sub-decision in the housing consumption decision set (H t (j o ),H t (jk ))At state space point X t The optimal utility of is the housing consumption decision set at point X in the state space t The expected optimal utility, in step S6, the calculation expression of the probability corresponding to the general consumption choice is: Where exp{u(c)+βEV t+1 (X t+1 |X t ,H t (j o ),H t (j k ),c)} is a given housing consumption choice decision (H t (j o ),H t (j k )), a sub-decision c of general commodity consumption is at the state space point X t The optimal utility of c exp{u(c)+βEV t+1 (X t+1 |X t ,H t (j o ),H t (j k ),c)} is the general consumption set at the state space point X t The expected optimal utility.

[0015] The present invention also provides a consumption and investment portfolio decision system, which is used to obtain the current corresponding housing consumption optimal decision and general consumption optimal decision according to the current status data of the object, and has the following characteristics, including: a housing nature judgment module, which is used to obtain the housing nature of the object according to the current status data, and the housing nature is a tenant, an owner of a self-owned house, or an owner of a self-owned house and an investment house; a selection set construction module, which is used to construct a selection set corresponding to the object including multiple different selection items according to the housing nature and the current status data, and the selection items include housing consumption selection and general consumption selection; a housing utility value calculation module, which is used to calculate the housing consumption selection utility value of each housing consumption selection in the selection set; a housing consumption decision module, which is used to calculate the probability corresponding to each housing consumption selection through a Probit discrete decision model according to each housing consumption selection utility value, and select the housing consumption selection with the largest probability as the housing consumption optimal decision; a general utility value calculation module, which is used to calculate the general consumption selection utility value of each general consumption selection according to the housing consumption optimal decision; a general consumption decision module, which is used to calculate the probability corresponding to each general consumption selection through a Probit discrete decision model according to each general consumption selection utility value, and select the general consumption selection with the largest probability as the general consumption optimal decision.

[0016] Functions and Effects of the Invention

[0017] According to the consumption and investment portfolio decision method and system involved in the present invention, because, on the one hand, a selection set is constructed, and the optimal housing consumption decision and the optimal general consumption decision are calculated in sequence in combination with the Probit discrete decision model; on the other hand, the utility value of any point in the state space is interpolated by spatial interpolation, thereby avoiding the problem that the state space dimension is too high and the calculation is too complicated to be solved. Therefore, the consumption and investment portfolio decision method and system of the present invention can generate the optimal housing consumption decision and general consumption decision for objects under any conditions. BRIEF DESCRIPTION OF THE DRAWINGS

[0018] Figure 1 is a block diagram of a consumption and investment portfolio decision system in an embodiment of the present invention;

[0019] Figure 2 is a schematic diagram of a flow chart of calculating the utility value of housing consumption selection in an embodiment of the present invention;

[0020] Figure 3 1 is a flow chart of a consumption and investment portfolio decision-making method in an embodiment of the present invention. DETAILED DESCRIPTION

[0021] In order to make the technical means, creative features, objectives and effects of the present invention easy to understand, the following embodiments and accompanying drawings specifically illustrate the consumption and investment portfolio decision-making method and system of the present invention.

[0022] In this embodiment, a consumption and investment portfolio decision system is provided, which obtains the optimal housing consumption decision and the optimal general consumption decision corresponding to the current period according to the current state data of the object. That is, under the general principle of the laws and mechanisms behind individual investment and consumption behaviors, a general behavior decision-making scheme for individual consumption and investment is provided. The basis of this scheme is to set the intrinsic motivation of the investment and consumption behavior of general social natural persons to optimize the optimal happiness level in their life cycle. Based on this intrinsic motivation, and under the influence of reward and punishment mechanisms such as investment income and losses, individuals will make the most optimized investment and consumption decisions according to their own conditions to maximize the utility level in their life cycle. For example, housing investment income will increase the probability of the investment behavior, and vice versa, it will reduce the occurrence of the behavior. At the same time, the intrinsic motivation, such as the difference in happiness between the rich and the poor for the investment income of 1 yuan, will also lead to different investment and consumption behaviors.

[0023] That is to say, in this embodiment, based on the different sense of happiness generated by different groups of people in response to different housing consumption choices and general consumption choices, the consumption decision with the greatest sense of happiness is calculated as the optimal consumption decision for the object, and the optimal consumption decision includes the optimal housing consumption decision and the optimal general consumption decision.

[0024] Figure 1 is a block diagram of a consumption and investment portfolio decision system in an embodiment of the present invention.

[0025] like Figure 1 As shown, the consumption and investment portfolio decision system 100 includes a housing property judgment module 10, a selection set construction module 20, a housing utility value calculation module 30, a housing consumption decision module 40, a general utility value calculation module 50, a general consumption decision module 60 and a general control module 70 for controlling the above modules.

[0026] The housing nature judgment module 10 is used to obtain the housing nature of the object according to the current state data. The housing nature is a tenant, a self-owned house owner, or a self-owned house and an investment house owner.

[0027] The selection set construction module 20 is used to construct a selection set corresponding to the object including multiple different selection items according to the housing property and the current state data, and the selection items include housing consumption selection and general consumption selection. In this embodiment, the sense of happiness is calculated from the current state data and the corresponding selection items.

[0028] Among them, the general consumption choice has a = 20 different levels, then the general consumption choice C in period t t ∈{c1,c2,..,c 20},c1,c2,..,c 20 The housing consumption options are composed of b = 5 rental housing levels, c = 5 owner-occupied housing levels, and c × d investment housing levels, where d = 5 is the number of investment housing levels.

[0029] In this embodiment, the current state data of the object whose housing property is a tenant is represented by the state space X i,t The form can be expressed as:

[0030] X i,t ={age,L t ,S t-1},

[0031] Where age is the age of the subject, L t is the labor income of the subject in period t, S t-1 is the remaining financial assets in period t-1.

[0032] When the subject's housing type is a tenant, a selection set consisting of b rental levels and c owner-occupied housing levels contains a×(b+c) options. This selection set contains a×b rental selection set and a×c owner-occupied housing selection set, which means that the subject can choose to continue renting or buy a self-occupied housing in the current period. The expressions of the rental selection set and the owner-occupied housing selection set are:

[0033]

[0034] In the formula is the rental level j in period t k The corresponding rental expenditure, H t (j o ) is the owner-occupied housing grade j in period t o The corresponding value of the owner-occupied house.

[0035] In this embodiment, the current state data of the object whose housing property is the owner of the house is represented by the state space X i,t The form can be expressed as:

[0036]

[0037] Where H t-1 (j o ) is the owner-occupied housing grade j in period t-1 o The corresponding value of the owner-occupied housing is for is the remaining loan amount in period t.

[0038] When the housing property of the subject is self-owned, the selection set consisting of b rental housing levels, c self-occupied housing levels and c×d investment housing levels contains a×(b+c+c×d) options, and its expression is:

[0039]

[0040] Where H t-1 (j k ) is the investment house grade j in period t-1 k The investment value of an investment property.

[0041] In this embodiment, the current state data of the object whose housing property is an investment house owner is represented by the state space X i,t The form can be expressed as:

[0042]

[0043] Where H t-1 (j k ) is the investment house grade j in period t-1 k The investment value of the investment property, The remaining loan amount for the investment property in period t.

[0044] When the housing nature of the object is an investment property owner, the selection set containing a×(b+c+c×d) options is composed of b rental levels, c owner-occupied housing levels and c×d investment housing levels. Its expression is the same as the selection set corresponding to the case where the housing nature of the object is an independent home owner, and will not be repeated here.

[0045] The housing utility value calculation module 30 is used to calculate the housing consumption choice utility value of each housing consumption choice in the choice set.

[0046] Figure 2 It is a flowchart of calculating the utility value of housing consumption selection in an embodiment of the present invention.

[0047] like Figure 2 As shown in Figure 2, the calculation of the utility value of housing consumption choice includes the following steps:

[0048] Step S3-1, based on the budget equation and the selection set, calculate the remaining financial assets corresponding to each option.

[0049] Among them, when the housing property of the object is a tenant, the expression of the budget equation is:

[0050] W t =S t-1 R f,s +L t (1-τ y ),

[0051]

[0052] Where W t is the total wealth of individuals in period t, S t-1 is the remaining financial assets in period t-1, R f,s For financial assets S t-1 The rate of return, L t is the labor income of the subject in period t, τ y is labor income L t The corresponding tax rate, C t is the general commodity consumption in period t, S t is the remaining financial assets in period t, is the rental level j in period t k The corresponding rental expenses.

[0053] When the housing property of the subject is an independent homeowner, the budget equation is expressed as:

[0054]

[0055] If j o′ ≠j o , then I b =1,I s =1, otherwise I b =0,I s =0,

[0056] Where H t-1 (j o ) is the owner-occupied housing grade j in period t-1 o The corresponding value of the owner-occupied housing is is the property appreciation rate, H t-1 (j o )I s φ s is the owner-occupied housing grade j in period t-1 o The corresponding real estate selling cost, is the remaining loan amount in period t-1, R f is the loan interest, H t (j o′ )(φ u +φ d ) is the owner-occupied housing grade j o′ The use cost and depreciation cost of the owner-occupied housing, H t (j o′ )φ b For owner-occupied housing level j o′ The selling cost of the owner-occupied house, For owner-occupied housing level j o′ The net investment value of the owner-occupied housing, H t (j k)(φ u +φ d +I b′ φ b ) is the investment property grade j k The use cost, depreciation cost and purchase fee of the investment house, H t (j k )a is the investment property gradej k Investment property rental of investment property, For investment housing grade j k The net value of the investment property.

[0057] When the housing property of the subject is an investment property owner, the expression of the budget equation is:

[0058]

[0059] If j' o ≠j o , then I b =1,I s =1, otherwise I b =0,I s =1,

[0060] Where H t-1 (j k ) is the investment house grade j in period t-1 k The investment value of the investment property, is the property appreciation rate, is the remaining loan amount for investment housing in period t-1, R f For loan interest.

[0061] Step S3-2, based on the selection set and the remaining financial assets, the optimal expected utility value for the next period corresponding to each option is obtained through backward recursive solution.

[0062] Among them, according to the selection set and the remaining financial assets, the optimal expected utility value of the next period of the known options in the state space corresponding to the selection set is obtained by backward recursive solution, and then based on the optimal expected utility value of the next period of the known options, spatial interpolation is used to solve the optimal expected utility value of the next period of the unknown options.

[0063] Step S3-3, calculating the general consumption utility value of each option.

[0064] Among them, the calculation expression of general consumption utility value is:

[0065]

[0066] Where u(C t |X') is the level that includes general consumption options, which is C tis the general consumption utility value of the option, ψ is the preference coefficient of general commodity consumption over housing consumption, and γ is the risk preference level.

[0067] Step S3-4, based on the general consumption utility value and the optimal expected utility value of the next period, calculate the optimal expected utility value corresponding to each housing consumption choice.

[0068] Among them, the calculation expression of the optimal expected utility value is:

[0069]

[0070] In the formula For housing consumption selection The optimal expected utility value of The corresponding set of all options, u(C t |X t ) is the general consumption utility value corresponding to a certain option in set c, β is the utility conversion ratio of current utility to future use, EV t+1 (X t+1 |X t ,C t ,H t (j o ),H t (j k )) is the optimal expected utility value of the next period corresponding to a certain option in set c.

[0071] Step S3-5, based on the optimal expected utility value and the quantity of housing services, the housing consumption choice utility value corresponding to each housing consumption choice is calculated.

[0072] Among them, the calculation expression of the housing consumption choice utility value is:

[0073]

[0074] Where u(R(j r ),H(j o ),H(j k )) is the rental level j r , owner-occupied housing level is j o And the investment property grade is j k The housing consumption choice utility value corresponding to the housing consumption choice is lnΣ c exp{u(C t |X t )+βEV t+1 (X t+1 |X t ,H t (j o ),H t (jk ),C t )}} is the optimal expected utility value corresponding to the housing consumption choice, is the amount of housing services consumed in period t, j o ,j k Represents the number of rooms owned by owner-occupied houses and investment houses respectively.

[0075] In this embodiment, any point X in the given state space t =X', the utility function calculation formula of this state space point in this period is:

[0076]

[0077] Where ρ t is the survival probability in period t, W t is the total wealth at the beginning of period t, ω is the preference coefficient of the offspring for general real estate consumption over general commodity consumption, β is the depreciation coefficient, is the inheritance available to offspring in each period based on the annuity calculation method, and γ is the risk preference level.

[0078] In this embodiment, by assuming that the utility function is an extreme value distribution method, the probability of an event occurring that requires high-dimensional integration is successfully turned into a linear problem, greatly simplifying the calculation. At the same time, the linear space interpolation method is used to further simplify the calculation method of the utility value of any point in the space, thereby solving the problem that when the state space dimension is too high, the calculation is too complicated to be solved, and the calculation is too large and the speed is too slow. In addition, this embodiment vectorizes the state space variables of the problem, further improving the calculation speed of the problem.

[0079] The housing consumption decision module 40 is used to calculate the probability corresponding to each housing consumption option through the Probit discrete decision model according to the utility value of each housing consumption option, and select the housing consumption option with the largest probability as the optimal housing consumption decision.

[0080] Among them, the calculation expression of the probability corresponding to the housing consumption choice is:

[0081]

[0082] In the formula, is the sub-decision in the housing consumption decision set (H t (j o ),H t (j k ))At state space point X t The optimal utility of H t (j k ))+I t (Ct |X t )} is the housing consumption decision set at point X in the state space t The expected optimal utility.

[0083] The general utility value calculation module 50 is used to calculate the general consumption choice utility value of each general consumption choice according to the optimal housing consumption decision.

[0084] The general consumption decision module 60 is used to calculate the probability corresponding to each general consumption choice through the Probit discrete decision model according to the utility value of each general consumption choice, and select the general consumption choice with the largest probability as the general consumption optimal decision.

[0085] Among them, the calculation expression of the probability corresponding to the general consumption choice is:

[0086]

[0087] Where exp{u(c)+βEV t+1 (X t+1 |X t ,H t (j o ),H t (j k ),c)} is a given housing consumption choice decision (H t (j o ),H t (j k )), a sub-decision c of general commodity consumption is at the state space point X t The optimal utility, ln∑ c exp{u(c)+βEV t+1 (X t+1 |X t ,H t (j o ),H t (j k ),c)} is the general consumption set at the state space point X t The expected optimal utility.

[0088] The master control module stores the control program for controlling the operation of each module.

[0089] The following describes the process of using the consumption and investment portfolio decision-making system 100 to perform consumption and investment portfolio decision-making in conjunction with the accompanying drawings.

[0090] Figure 3 1 is a flow chart of a consumption and investment portfolio decision-making method in an embodiment of the present invention.

[0091] like Figure 3As shown, the consumption and portfolio decision method includes the following steps:

[0092] Step S1, using the housing property judgment module 10 to obtain the housing property of the object according to the current status data.

[0093] Step S2, using the selection set construction module 20 to construct a selection set corresponding to the object containing a plurality of different selection items according to the housing property and current status data.

[0094] Step S3, using the housing utility value calculation module 30 to calculate the housing consumption choice utility value of each housing consumption choice in the selection set.

[0095] Step S4, using the housing consumption decision module 40 to calculate the probability of each housing consumption option according to the utility value of each housing consumption option through the Probit discrete decision model, and select the housing consumption option with the largest probability as the optimal housing consumption decision.

[0096] Step S5, using the general utility value calculation module 50 to calculate the general consumption choice utility value of each general consumption choice according to the optimal housing consumption decision.

[0097] Step S6, using the general consumption decision module 60 to calculate the probability corresponding to each general consumption choice according to the utility value of each general consumption choice through the Probit discrete decision model, and select the general consumption choice with the largest probability as the general consumption optimal decision.

[0098] In summary, this embodiment applies the optimization algorithm of dynamic programming to the life cycle model of asset allocation and general consumption, solves the investment portfolio and consumption model based on the discrete dynamic life cycle model, and thus obtains the optimal consumption decision for any period.

[0099] Functions and Effects of the Embodiments

[0100] According to the consumption and investment portfolio decision method and system involved in this embodiment, on the one hand, a selection set is constructed, and the optimal housing consumption decision and the optimal general consumption decision are calculated in sequence in combination with the Probit discrete decision model; on the other hand, the utility value of any point in the state space is interpolated by spatial interpolation, thereby avoiding the problem that the state space dimension is too high and the calculation is too complex to be solved. In short, this method can generate the optimal housing consumption decision and general consumption decision for objects under any conditions.

[0101] Those skilled in the art should understand that the present invention is not limited to the above embodiments, and the above embodiments and descriptions are only for explaining the principles of the present invention. Without departing from the spirit and scope of the present invention, the present invention may have various changes and improvements, and these changes and improvements fall within the scope of the present invention to be protected. The scope of protection of the present invention is defined by the attached claims and their equivalents.

Claims

1. A consumption and investment portfolio decision method, used to obtain the optimal housing consumption decision and the optimal general consumption decision corresponding to the current period according to the current state data of the object, characterized in that: The following steps are involved: Step S1, obtaining the housing nature of the object according to the current status data, wherein the housing nature is a tenant, a self-owned house owner, or a self-owned house and an investment house owner; Step S2, constructing a selection set corresponding to the object and including a plurality of different selection items according to the housing property and the current state data, wherein the selection items include housing consumption selection and general consumption selection; Step S3, calculating the housing consumption choice utility value of each housing consumption choice in the choice set; Step S4, according to the utility values ​​of each housing consumption option, the probability corresponding to each housing consumption option is calculated by the Probit discrete decision model, and the housing consumption option with the largest probability is selected as the optimal housing consumption decision; Step S5, calculating and obtaining the general consumption choice utility value of each of the general consumption choices according to the optimal housing consumption decision; Step S6, according to the utility value of each of the general consumption options, the probability corresponding to each of the general consumption options is calculated through the Probit discrete decision model, and the general consumption option with the largest probability is selected as the general consumption optimal decision.

2. The consumption and investment portfolio decision-making method according to claim 1, characterized in that: in, The general consumption options have a different levels, The housing consumption options are composed of b rental housing levels, c owner-occupied housing levels, and c×d investment housing levels, where d is the number of investment housing levels. When the housing type of the object is a tenant, the selection set consists of b rental levels and c owner-occupied housing levels, which contains a×(b+c) options. When the housing property of the subject is that of an independent homeowner, a selection set of a×(b+c+c×d) options is formed by b rental housing levels, c self-occupied housing levels, and c×d investment housing levels. When the housing nature of the object is an investment property owner, a selection set containing a×(b+c+c×d) options is composed of b rental housing levels, c owner-occupied housing levels and c×d investment housing levels.

3. The consumption and investment portfolio decision-making method according to claim 2, characterized in that: in, The step S3 comprises the following sub-steps: Step S3-1, calculating the remaining financial assets corresponding to each of the options according to the budget equation and the option set; Step S3-2, according to the selection set and the remaining financial assets, obtain the optimal expected utility value of the next period corresponding to each of the selection items through backward recursive solution; Step S3-3, calculating the general consumption utility value of each of the options; Step S3-4, calculating the optimal expected utility value corresponding to each of the housing consumption options according to the general consumption utility value and the optimal expected utility value of the next period; Step S3-5, calculating the housing consumption option utility value corresponding to each housing consumption option according to the optimal expected utility value and the housing service quantity.

4. The consumption and investment portfolio decision-making method according to claim 3, characterized in that: in, When the housing property of the object is a tenant, the expression of the budget equation is: W t =S t-1 R f，s +L t (1-t y ), Where W t is the total wealth of individuals in period t, S t-1 is the remaining financial assets in period t-1, R f，s For financial assets S t-1 The rate of return, L t is the labor income of the subject in period t, τ y is labor income L t The corresponding tax rate, C t is the general commodity consumption in period t, S t is the remaining financial assets in period t, is the rental level j in period t k The corresponding rental expenses are When the housing property of the subject is a self-owned house owner, the expression of the budget equation is: If j o ≠j o Rule I b = 1, I s =1, no I b = 0, I s = 0, Where H t-1 (j o ) is the owner-occupied housing grade j in period t-1 o The corresponding value of the owner-occupied housing is is the property appreciation rate, H t-1 (j o )I s φ s is the owner-occupied housing grade j in period t-1 o The corresponding real estate selling cost, is the remaining loan amount in period t-1, R f is the loan interest, H t (j o′ )(φ u +φ d ) is the owner-occupied housing grade j o′ The use cost and depreciation cost of the owner-occupied housing, H t (j o′ )φ b is the selling cost of the owner-occupied house of owner-occupied house level jo, is the net investment value of the owner-occupied housing of owner-occupied housing grade jo, H t (j k )(φ u +φ d +I b′ φ b ) is the investment property grade j k The use cost, depreciation cost and purchase fee of the investment house, H t (j k )a is the investment property gradej k Investment property rental of investment property, For investment housing grade j k The net value of the investment property, When the housing property of the subject is an investment house owner, the expression of the budget equation is: If j ′o ≠j o Rule I b = 1, I s =1, no I b = 0, I s = 1, Where H t-1 (j k ) is the investment house grade j in period t-1 k The investment value of the investment property, is the property appreciation rate, is the remaining loan amount for investment housing in period t-1, R f For loan interest.

5. The consumption and investment portfolio decision-making method according to claim 3, characterized in that: in, In step S3-2, based on the selection set and the remaining financial assets, the optimal expected utility value of the next period of the known selection items in the state space corresponding to the selection set is obtained by backward recursive solution. According to the known optimal expected utility value of the next period of the option, spatial interpolation is used to solve the optimal expected utility value of the next period of the unknown option.

6. The consumption and investment portfolio decision-making method according to claim 3, characterized in that: in, In step S3-3, the calculation expression of the general consumption utility value is: Where u(C t |X′) is the level of general consumption selection, which is C t is the general consumption utility value of the option, ψ is the preference coefficient of general commodity consumption over housing consumption, and γ is the risk preference level.

7. The consumption and investment portfolio decision-making method according to claim 3, characterized in that: in, In step S3-4, the calculation expression of the optimal expected utility value is: In the formula For housing consumption selection The optimal expected utility value of The corresponding set of all options, u(C t |X t ) is the general consumption utility value corresponding to a certain option in set c, β is the utility conversion ratio of current utility to future use, EV t+1 (X t+1 |X t , C t , H t (j o ), H t (j k )) is the optimal expected utility value of the next period corresponding to a certain option in set c.

8. The consumption and investment portfolio decision-making method according to claim 3, characterized in that: in, In step S3-5, the calculation expression of the housing consumption choice utility value is: Where u(R(j r ), H(j o ), H(j k )) is the rental level j r , owner-occupied housing level is j o And the investment property grade is j k The housing consumption choice utility value corresponding to the housing consumption choice is ln∑ c exp{u(C t |X t )+βEV t+1 (X t+1 |X t , H t (j o ), H t (j k ), C t )}} is the optimal expected utility value corresponding to the housing consumption choice, is the amount of housing services consumed in period t, j o , j k Represents the number of rooms owned by owner-occupied houses and investment houses respectively.

9. The consumption and investment portfolio decision-making method according to claim 1, characterized in that: in, In step S4, the calculation expression of the probability corresponding to the housing consumption selection is: In the formula, is the sub-decision in the housing consumption decision set (H t (j o ), H t (j k ))At state space point X t The optimal utility of is the housing consumption decision set at point X in the state space t The expected optimal utility of In step S6, the calculation expression of the probability corresponding to the general consumption selection is: Where exp{u(c)+βEV t+1 (X t+1 |X t , H t (j o ), H t (j k ), c)} is a given housing consumption choice decision (H t (j o ), H t (j k )), a sub-decision c of general commodity consumption is at the state space point X t The optimal utility, ln∑ c exp{u(c)+βEV t+1 (X t+1 |X t , H t (j o ), H t (j k ), c)} is the general consumption set at the state space point X t The expected optimal utility.

10. A consumption and investment portfolio decision system, used to obtain the optimal housing consumption decision and the optimal general consumption decision corresponding to the current period according to the current status data of the object, characterized in that: include: A housing nature judgment module, used to obtain the housing nature of the object according to the current status data, wherein the housing nature is a tenant, a self-owned house owner, or a self-owned house and an investment house owner; A selection set construction module, for constructing a selection set corresponding to the object and including a plurality of different selection items according to the housing property and the current state data, wherein the selection items include housing consumption selection and general consumption selection; A housing utility value calculation module, used for calculating the housing consumption choice utility value of each housing consumption choice in the choice set; A housing consumption decision module is used to calculate the probability corresponding to each housing consumption option through a Probit discrete decision model according to the utility value of each housing consumption option, and select the housing consumption option with the largest probability as the optimal housing consumption decision; A general utility value calculation module, used for calculating the general consumption choice utility value of each of the general consumption choices according to the optimal housing consumption decision; The general consumption decision module is used to calculate the probability corresponding to each of the general consumption options through the Probit discrete decision model according to the utility value of each of the general consumption options, and select the general consumption option with the largest probability as the general consumption optimal decision.

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