论文标题
财富对不完整市场投资组合分配的影响
Wealth Effect on Portfolio Allocation in Incomplete Markets
论文作者
论文摘要
我们开发了一种新颖的五成分分解，以最佳的动态投资组合选择，揭示了市场不完整和财富依赖性公用事业的同时影响。在Hara公用事业和非随机利率下，我们可以明确地解决最佳政策，作为债券持有计划和相应的简单CRRA策略的结合。根据估计的美国权益数据的随机波动率模型，我们使用封闭式解决方案来证明依赖财富依赖性公用事业的复杂影响，包括周期依赖性和滞后作用在最佳投资组合分配中，以及投资绩效的风险返回风险权衡。
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. Under the HARA utility and a nonrandom interest rate, we can explicitly solve for the optimal policy as a combination of a bond holding scheme and the corresponding simpler CRRA strategy. Under a stochastic volatility model estimated on US equity data, we use closed-form solution to demonstrate the sophisticated impacts from the wealth-dependent utilities, including cycle-dependence and hysteresis effect in optimal portfolio allocation, as well as a risk-return trade-off in investment performance.
