Dynamic Portfolio Selection Under Quantile Maximization

• 成果类型: Article
• 署名作者: He, Xue Dong; Jiang, Zhaoli; Kou, Steven
• 署名单位: Chinese University of Hong Kong; Hong Kong Polytechnic University; Boston University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.03182
• 发表日期: 2026
• 关键词: Quantiles; median; PORTFOLIO SELECTION; time inconsistency; intrapersonal equilibrium; Portfolio insurance

摘要

Although maximizing quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to find the optimal portfolio strategy because of time inconsistency. Using an intrapersonal equilibrium approach and focusing on the class of time-varying affine strategies, we find that the only viable outcome is from the median maximization because for other quantiles, either the equilibrium does not exist or there is no investment in risky assets. We also prove that maximizing the median endogenizes the use of portfolio insurance. The calibration of the model uncovers a new empirical phenomenon: portfolio share smile.