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題名 | Dynamic Asset Allocation with Narrow Framing / Loss Aversion=框架效果/損失趨避下的動態資產配置 |
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作者姓名(中文) | 鍾經樊; 葉宗穎; | 書刊名 | 證券市場發展季刊 |
卷期 | 29:2=114 2017.06[民106.06] |
頁次 | 頁107-155 |
分類號 | 563.52 |
關鍵詞 | 動態資產配置; 框架效果/損失趨避; 波動反饋; Dynamic asset allocation; Narrow framing/loss aversion; Volatility feedback; Hamilton-Jacobi-Bellman equation; Ito-Tanaka formula; Brownian local time; Continuous-record asymptotics; |
語文 | 英文(English) |
中文摘要 | 我們研究一個動態資產配置模型,其中模型納入了一個包括loss aversion及narrow framing 的一般化效用函數。投資機會集合則考慮了隨機波動模型。這個一般化的動態模型可以計算出一解析解。我們發現對一位myopic投資人時,導入loss aversion 及narrow framing 會降低股票的需求,條件是當心中主觀的odd ratio 低於loss aversion 的程度。然而,narrow framing 及loss aversion 可以增加non-myopic 投資人的股票需求當波動反饋效果能顯著的影響投資人的投資機會集合。 |
英文摘要 | We study a dynamic asset allocation problem based on a generalized intertemporal preference that allows narrow framing/loss aversion to enter the utility function directly and a generalized specification for the investment opportunity set with stochastic volatility. The optimal dynamic allocation problem is solved in an analytically tractable way. We find that introducing narrow framing/loss aversion for the myopic investor will reduce stock demand when the odds of earning excess returns are smaller than the degree of loss aversion. However, the narrow framing/loss aversion may increase stock demand for the non-myopic investor if he/she is vigilant enough to exploit changing investment opportunities reflected in the volatility feedback effect. |
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