论文标题
在中值和分位数下选择投资组合
Portfolio Selection under Median and Quantile Maximization
论文作者
论文摘要
尽管最大化中位数和分位数具有直觉上的吸引力并且具有公理基础，但由于目标函数的不连续性和时间不一致，很难研究最佳的投资组合策略。我们使用个人内平衡方法来研究问题。有趣的是，我们发现唯一可行的结果来自中位数的最大化，因为对于其他分位数不存在平衡，或者对风险资产没有投资。中位数最大化策略简单地解释了为什么富人在风险资产上投入更多的财富。
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function. We use the intra-personal equilibrium approach to study the problem. Interestingly, 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 the risky assets. The median maximization strategy gives a simple explanation to why wealthier people invest more percentage of their wealth in risky assets.
