人类、经济和投资组合选择

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2017-06-01 DOI:10.1142/S201013921750001X
M. Best, R. Grauer.
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引用次数: 2

摘要

我们比较了人类-前景理论投资者的投资组合选择与经济-电力效用和均值方差(MV)投资者的投资组合选择。在一个数值例子中,前景理论投资组合显然是不合理的。在样本内资产配置设置下,前景理论的结果与短视损失厌恶一致。然而,这些投资组合极不稳定。电力效用和MV的结果与传统金融理论一致,其中投资组合在决策范围内是稳定的。在样本外资产配置设置中,电力公司和投资组合优于前景理论投资组合。尽管如此,损失厌恶系数为2.25和2的前景理论投资组合表现良好。
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Humans, Econs and Portfolio Choice
We compare the portfolio choices of Humans — prospect theory investors — to the portfolio choices of Econs — power utility and mean-variance (MV) investors. In a numerical example, prospect theory portfolios are decidedly unreasonable. In an in-sample asset allocation setting, the prospect theory results are consistent with myopic loss aversion. However, the portfolios are extremely unstable. The power utility and MV results are consistent with traditional finance theory, where the portfolios are stable across decision horizons. In an out-of-sample asset allocation setting, the power utility and portfolios outperform the prospect theory portfolios. Nonetheless the prospect theory portfolios with loss aversion coefficients of 2.25 and 2 perform well.
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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