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

不对称性和投资组合选择

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

摘要：我们检验了一个具有一般失望厌恶偏好的投资者在面对由正常指数模型描述的对数收益时的投资组合选择。我们得出一个三基金分离策略：投资者将财富分配到无风险资产、标准均值方差有效基金和反映收益不对称性的额外基金。最优投资组合的特点是投资者的内生有效风险规避和隐形不对称规避。在实证应用中，我们发现失望厌恶是与比标准偏好更高的不对称厌恶相关联的。我们的模型解释了风险偏好和投资视野下的受欢迎的投资组合建议的模式。

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.

原文链接：http://rfs.oxfordjournals.org/content/30/2/667.abstract

翻译：何杉