Portfolio choice with skewness preference and wealth-dependent risk aversion

doi:10.1080/14697688.2019.1592214

CORC > 上海财经大学 > 上海财经大学

	Portfolio choice with skewness preference and wealth-dependent risk aversion
	Mu, Congming 1; Tian, Weidong 2; Yang, Jinqiang 3
刊名	QUANTITATIVE FINANCE
	2019-06-11
关键词	Dynamic asset allocation Mean-variance-skewness preference Time inconsistency Skewness seeking
ISSN号	1469-7688
DOI	10.1080/14697688.2019.1592214
英文摘要	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.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000472414600001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/218]
专题	上海财经大学
通讯作者	Yang, Jinqiang
作者单位	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
推荐引用方式 GB/T 7714	Mu, Congming,Tian, Weidong,Yang, Jinqiang. Portfolio choice with skewness preference and wealth-dependent risk aversion[J]. QUANTITATIVE FINANCE,2019.
APA	Mu, Congming,Tian, Weidong,&Yang, Jinqiang.(2019).Portfolio choice with skewness preference and wealth-dependent risk aversion.QUANTITATIVE FINANCE.
MLA	Mu, Congming,et al."Portfolio choice with skewness preference and wealth-dependent risk aversion".QUANTITATIVE FINANCE (2019).