张 群 摘 要 随着中国市场经济改革的平稳推进，中国宏观经济保持了持续快速增长的势头，城镇居民家庭掌握的财富数量也在不断增加。出于家庭财富保值增值的需要，中国城镇家庭开始尝试选择持有银行储蓄存款以外的其他类型的金融资产，城镇家庭的金融资产选择行为也逐渐变得复杂起来。本文即试图利用中国城镇的经验数据来研究中国城镇家庭的金融资产选择行为，以弥补国内相关研究文献的稀缺和不足。 在展开分析之前，本文先提出了研究家庭金融资产选择行为的理论与方法论基础，并对相关经验分析上的困难以及国外学界得到的相关理论和经验证据进行了总结和比较。考虑到可得的城镇家庭数据还无法对中国城镇家庭金融资产选择行为的连续变动趋势做出说明，本文构造了一个考虑家庭人力资本存量的金融资产选择模型，并通过计算机模拟的方法求解出家庭在生命周期中金融资产配置状况的动态调整路径。我们的模拟结果显示：在抽象掉其他因素的影响后，较年轻的家庭将持有更高份额的风险性金融资产；拥有较稳定劳动收入的家庭将选择持有更高份额的风险性金融资产；而劳动收入与股市表现高度相关的家庭将选择持有风险性较低的金融资产。 作为利用家计数据进行截面分析的铺垫和补充，本文基于公开的年鉴数据，对改革以来中国城镇居民人均持有的各类金融资产数额的总体变化趋势进行了描述，并对城镇居民收入与金融资产选择行为之间的关系做了说明。至此，本文开始利用中国社会科学院经济研究所收入分配课题组1995年和2002年的城镇住户调查数据来探究家庭财富和家庭人口特征等因素对家庭金融资产选择行为的影响。在分析过程中，我们专注于运用截面数据回归的方法来解释家庭金融资产选择行为的两方面特征，即家庭选择持有某种金融资产的概率以及家庭持有某种金融资产的份额。经验结果显示：中国城镇家庭对风险性金融资产的参与热情普遍不高（包括参与概率和参与深度两个方面）；而家庭户主的年龄、党员身份，家庭户主或配偶的受教育年限，以及家庭收入、净资产、自有房产等因素对城镇家庭选择持有股票等风险性金融资产的决策都有较为显著的影响。 关键词：金融资产、风险偏好、效用、财富、家庭人口特征 Abstract With the improvement of China market-oriented reform, China macro-economy has advanced rapidly and the wealth which urban households possess has increased progressively. For maintaining and enhancing the value of household wealth, China urban households begin to choose different kinds of financial assets besides savings, and the portfolio choice of urban households become more and more complicated. This dissertation utilizes empirical data of China urban regions to study the portfolio behavior of urban households. Before the empirical analysis, this dissertation puts forward the theoretical and methodological foundation of research on household portfolio behavior, and then summarizes the difficulties of relevant empirial analysis, and compares theoretical results with empirical evidence of foreign academic literature. Considering we cannot demonstrate the trends of household portfolio choice through available data, the dissertation erects a portfolio model which takes human capital into account. With the help of Matlab, the model could simulate the dynamic path of household portfolio in the life cycle. The simulation results show that (1) abstracting other factors, younger households tend to hold more risky financial assets; (2) households with stable income tend to hold more risky financial assets; (3) households whose income is highly correlated with stock market should hold more riskless financial assets. As the complement of cross-section analysis, the dissertation utilizes the open data of yearbooks to demonstrate the change tendency of per capita holdings of financial assets of urban household and to explain the relationship between urban residents’ income and their portfolio behavior. Then, this dissertation starts to use the urban household survey dataset conducted by individual income distribution project in the Institute of Economics of Chinese Academy of Social Sciences in 1995 and 2002 to explore the influences of wealth and demographic characteristics on household portfolio choice. In the analysis, the dissertation focunes on two problems of household portfolio behavior: one is the probability a typical urban household would choose to hold a certain kind of financial assets; the other is the proportion a typical urban household would choose to hold a certain kind of financial assets. The empirical results show that (1) as to the probability and the proportion a typical urban household would choose to hold a certain kind of risky financial assets, typical urban households are usually not interested in risky financial assets; (2) age and party membership of household head, education of the head or his spouse, and household income, net assets and self-owned house would have remarkable influence on the decision-making of urban household choosing to possess risky financial assets such as stocks. Keywords: financial assets; risk preference; utility; wealth; household demographical characteristics