期刊
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
卷 68, 期 12, 页码 1647-1660出版社
TAYLOR & FRANCIS LTD
DOI: 10.1057/s41274-017-0179-6
关键词
investment analysis; state-dependent risk aversion; dynamic mean-variance formulation; time consistency; behavioral portfolio policy
资金
- National Natural Science Foundation of China [71601107, 71671106, 71201094]
- State Key Program in the Major Research Plan of National Natural Science Foundation of China [91546202]
- Research Grants Council of Hong Kong [414513, 14204514, 15209614, 15224215, 15255416]
- Shanghai Pujiang Program [15PJC051]
- Patrick Huen Wing Ming Chair Professorship of Systems Engineering and Engineering Management
When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time variant or even state dependent. In this paper, we propose a behavioral risk aversion model, in which risk aversion is a piecewise linear function of the current excess wealth level with a reference point at the discounted investment target (either surplus or shortage), to reflect a behavioral pattern with both house money and break-even effects. Due to the time inconsistency of the resulting multi-period mean-variance model with adaptive risk aversion, we investigate the time consistent behavioral portfolio policy by solving a nested mean-variance game formulation. We derive a semi-analytical time consistent behavioral portfolio policy which takes a piecewise linear feedback form of the current excess wealth level with respect to the discounted investment target. Finally, we extend the above results to time consistent behavioral portfolio selection for dynamic mean-variance formulation with a cone constraint.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据