Why stocks may disappoint

被引：141

作者：

Ang, A

Bekaert, G

Liu, J

机构：

[1] Columbia Univ, Columbia Business Sch, New York, NY 10027 USA

[2] Univ So Calif, Los Angeles, CA 90089 USA

[3] Univ Calif Los Angeles, Anderson Sch C509, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2005年 / 76卷 / 03期

关键词：

first order risk aversion; loss aversion; portfolio choice; downside risk;

D O I：

10.1016/j.jfineco.2004.03.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991. Econometrica 59(3), 667-686), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment averse investors with utility functions exhibiting low curvature. Moderate variation in parameters can robustly generate substantial cross-sectional variation in portfolio holdings, including optimal non-participation in the stock market. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：471 / 508

页数：38

共 44 条

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