Discrete-time financial planning models under loss-averse preferences
成果类型：
Article
署名作者：
Siegmann, A; Lucas, A
署名单位：
Vrije Universiteit Amsterdam; Tinbergen Institute
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1040.0182
发表日期：
2005
页码：
403-414
关键词：
摘要：
We consider a dynamic asset allocation problem formulated as a mean-shortfall model in discrete time. A characterization of the solution is derived analytically under general distributional assumptions for serially independent risky returns. The solution displays risk taking under shortfall, as well as a specific form of time diversification. Also, for a representative stock-return distribution, risk taking increases monotonically with the number of decision moments given a fixed horizon. This is related to the well-known casino effect arising in a downside-risk and expected return framework. As a robustness check, we provide results for a modified objective with a quadratic penalty on shortfall. An analytical solution for a single-stage setup is derived, and numerical results for the two-period model and time diversification are provided.