| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29821 |
| 来源ID | Working Paper 29821 |
| Portfolio Rebalancing with Realization Utility | |
| Min Dai; Cong Qin; Neng Wang | |
| 发表日期 | 2022-03-07 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a model where a realization-utility investor (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) optimally targets her liquid-illiquid wealth ratio at a constant w∗. By saving in the risk-free asset (w∗ > 0), she makes smaller bets in the illiquid asset and realizes gains/losses more frequently. By leveraging (w∗ < 0), she makes bets larger than her equity and realizes gains/losses less frequently. For a discontinuous/jump-diffusion price process, the solution features four regions: loss-realization, gain-realization, and two disconnected (deep-loss and normal) holding regions. We generate a quantitatively significant non-monotonic propensity to realize losses consistent with evidence. |
| 主题 | Microeconomics ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29821 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587494 |
| 推荐引用方式 GB/T 7714 | Min Dai,Cong Qin,Neng Wang. Portfolio Rebalancing with Realization Utility. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29821.pdf（1508KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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