Portfolio choice with skewness preference and wealth-dependent risk aversion

被引：4
|
作者：
Mu, Congming [1 ]
Tian, Weidong [2 ]
Yang, Jinqiang [3 ]
机构：
[1] Shanghai Univ Finance & Econ, Shanghai Inst Int Finance & Econ, Shanghai 200433, Peoples R China
[2] Univ N Carolina, Belk Coll Business, Charlotte, NC 28223 USA
[3] Shanghai Univ Finance & Econ, Shanghai Inst Int Finance & Econ, Sch Finance, Shanghai Key Lab Financial Informat Technol, Shanghai 200433, Peoples R China
来源：
QUANTITATIVE FINANCE | 2019年 / 19卷 / 11期
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Dynamic asset allocation; Mean-variance-skewness preference; Time inconsistency; Skewness seeking; ASSET ALLOCATION; TIME; UNCERTAINTY; INVESTMENT; UNIQUENESS; POLICIES;
D O I：
10.1080/14697688.2019.1592214
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies a dynamic portfolio choice problem for an investor with both wealth-dependent risk aversion and wealth-dependent skewness preferences. In a general economic setting, the solution is characterized in terms of a system of extended Hamilton-Jacobi-Bellman (EHJB) equations and the solution is given in closed form in some special cases. We demonstrate the effects of higher order risk preferences and state-dependent risk aversion on the optimal asset allocation decisions. We find that wealth-dependent risk aversion facilitates risk taking and the skewness preference leads to a more positively skewed portfolio in certain circumstances.
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页码：1905 / 1919
页数：15
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