Asymmetries and Portfolio Choice

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Farago, Adam; Tedongap, Romeo
• 署名单位: Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Gothenburg; ESSEC Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw091
• 发表日期: 2017
• 页码: 667
• 关键词: ASSET ALLOCATION PUZZLE; GENERALIZED DISAPPOINTMENT AVERSION; expected utility; prospect-theory; HIGHER MOMENTS; stock returns; RISK; skewness; preference; selection

摘要

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.