Asymmetries and Portfolio Choice
研究了具有广义失望厌恶偏好的投资者在收益非对称性下的投资组合选择，推导出三基金分离策略，并发现失望厌恶导致更大的非对称性厌恶，解释了不同风险偏好和投资期限下的投资组合建议模式。
We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor’s endogenous effective risk aversion and implicit asymmetry aversion. In empirical applications, we find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice across both risk appetites and investment horizons. Received November 12, 2015; editorial decision July 20, 2016 by Editor Stefan Nagel.