市场组合受投资者的偏好和财富影响吗？(Is the Market Portfolio Affected by Individual Investor’s Preference and Wealth?)

Abstract

Chinese Abstract: 如果每个投资者投入市场组合的金额增加一倍，那么市场组合的总市值将增加一倍。此时，市场组合的权重仍然保持不变吗？答案是否定的，作为半均衡定价的 CAPM 公式就揭示了每种基本证券的市值通常并非同比例增加一倍。进一步地，CAPM 的均衡解展示了市场组合权重与投资者偏好和财富之间的联系，我们能容易地判别市场组合中各基本证券权重受投资者偏好和财富影响的正负性。 English Abstract: If the amount invested by each investor in the market portfolio doubles, the total market value of the market portfolio will double. At this time, do the weights of the market portfolio remain unchanged? The answer is No. The CAPM formula, which is a semi-equilibrium pricing formula, reveals that the market value of each primitive security usually does not double in the same proportion. Furthermore, the closed-form solution to CAPM equilibrium reveals the relationship between the weights of market portfolio and the preference and wealth of each investor. Thus, we can easily find the positive or negative effects of each investor’s preference and wealth on the weight of each primitive security in the market portfolio.