Efficiency of Dynamic Portfolio Choices: An Experiment

• 成果类型: Article
• 署名作者: Magnani, Jacopo; Rabanal, Jean Paul; Rud, Olga A.; Wang, Yabin
• 署名单位: emlyon business school; Centre National de la Recherche Scientifique (CNRS); Universitetet i Stavanger; Hong Kong Monetary Authority (HKMA)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab071
• 发表日期: 2022
• 页码: 1279
• 关键词: SEPARATION THEOREM; loss aversion; risk-taking; tests; diversification; Heterogeneity; reflection; strategies; BEHAVIOR; prices

摘要

We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with 2(T) terminal states and (2) pooled with T+1 unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, which allows for path dependent strategies, we find that a form of stop-loss strategy drives efficiency losses.