Aggregation of preferences for skewed asset returns

• 成果类型: Article
• 署名作者: Chabi-Yo, Fousseni; Leisen, Dietmar P. J.; Renault, Eric
• 署名单位: University System of Ohio; Ohio State University; Johannes Gutenberg University of Mainz; Brown University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.09.020
• 发表日期: 2014
• 页码: 453-489
• 关键词: Skewness; portfolio; aggregation; stochastic discount factor; Polynomials of pricing factors; Market return

摘要

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only if preferences for skewness are heterogeneous. In addition to the common powers of market returns, this tracking error shows up in stochastic discount factors as priced factors that are products of the tracking error and market returns. (c) 2014 Elsevier Inc. All rights reserved.