Understanding dynamic mean variance asset allocation
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- 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
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A new portfolio decomposition formula sheds light on the economics of portfolio choice for mean-variance investors.
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One component hedges time changes in risk aversion.
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An analytical solution is derived in the incomplete market case.
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Intertemporal hedging is potentially large and in the empirical investigation substantial.
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Efficient Frontiers per investment horizon are reasonable for medium and long investment horizon.