G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10706
DP10706 Asymmetries and Portfolio Choice
Magnus Dahlquist
发表日期2015-07-12
出版年2015
语种英语
摘要We examine the portfolio choice of an investor with generalized disappointment aversion preferences who faces returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor's endogenous effective risk aversion and implicit asymmetry aversion. We find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice and provides a reason for shifting from bonds to stocks as the investment horizon increases.
主题Financial Economics
关键词Asset allocation Downside risk
URLhttps://cepr.org/publications/dp10706
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/539537
推荐引用方式
GB/T 7714
Magnus Dahlquist. DP10706 Asymmetries and Portfolio Choice. 2015.
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