Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
研究投资者在短期和长期具有不同风险厌恶态度时的长期资产配置问题，发现长期风险厌恶高于短期且随投资期限增加，股票向债券和现金的配置比例随风险厌恶程度上升。
Abstract This paper studies the long‐term asset allocation problem of an investor with different risk aversion attitudes to the short and the long term. We characterize investor's preferences with a utility function exhibiting a regime shift in risk aversion at some point of the multiperiod investment horizon that is estimated using threshold nonlinearity methods. Our empirical results for a portfolio of cash, bonds and stocks suggest that long‐term risk aversion is higher than short‐term risk aversion and increases with the investment horizon. The exposure of the investment portfolio from stocks to bonds and cash increases with the degree of risk aversion.