REVIEW OF FINANCIAL STUDIES·(2017)30(2): 667-702.doi:10.1093/rfs/hhw091·First published online: November 3, 2016

不對稱性和投資組合選擇

作者：Magnus Dahlquist (Stockholm School of Economics and CEPR), Adam Farago (University of Gothenburg), Roméo Tédongap (ESSEC Business School Paris-Singapore)

摘要：我們檢驗了一個具有一般失望厭惡偏好的投資者在面對由正常指數模型描述的對數收益時的投資組合選擇。我們得出一個三基金分離策略：投資者将财富分配到無風險資産、标準均值方差有效基金和反映收益不對稱性的額外基金。最優投資組合的特點是投資者的内生有效風險規避和隐形不對稱規避。在實證應用中，我們發現失望厭惡是與比标準偏好更高的不對稱厭惡相關聯的。我們的模型解釋了風險偏好和投資視野下的受歡迎的投資組合建議的模式。

Asymmetries and Portfolio Choice

Magnus Dahlquist (Stockholm School of Economics and CEPR), Adam Farago (University of Gothenburg), Roméo Tédongap (ESSEC Business School Paris-Singapore)

ABSTRACT

We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log 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. In empirical applications, we find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice across both risk appetites and investment horizons.

原文鍊接：http://rfs.oxfordjournals.org/content/30/2/667.abstract

翻譯：何杉