Understanding dynamic mean variance asset allocation
详细信息 查看全文
- 作者：Abraham Lioui ; a ; abraham.lioui@edhec.edu" class="auth_mail" title="E-mail the corresponding author ; abraham.levy123@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Patrice Poncetb ; poncet@essec.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Mean variance ; Dynamic asset allocation ; Time varying risk aversion ; Intertemporal hedging
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 October 2016
- 年：2016
- 卷：254
- 期：1
- 页码：320-337
- 全文大小：1117 K
文摘
- class="listitem" id="list_celist0001">
- class="label">•
A new portfolio decomposition formula sheds light on the economics of portfolio choice for mean-variance investors.
- class="label">•
One component hedges time changes in risk aversion.
- class="label">•
An analytical solution is derived in the incomplete market case.
- class="label">•
Intertemporal hedging is potentially large and in the empirical investigation substantial.
- class="label">•
Efficient Frontiers per investment horizon are reasonable for medium and long investment horizon.