| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10706 |
| 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 |
| URL | https://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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