Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
构建了一个存在过度自信投资者的一般均衡模型，分析情绪波动如何导致股价过度波动，并推导出理性投资者应采取的保守投资组合策略。
ABSTRACT Our objective is to identify the trading strategy that would allow an investor to take advantage of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general equilibrium “difference‐of‐opinion” model of sentiment in which there are two classes of agents, one of which is overconfident about a public signal, while still optimizing intertemporally. Overconfident investors overreact to the signal and introduce an additional risk factor causing stock prices to be excessively volatile. Consequently, rational investors choose a conservative portfolio; moreover, this portfolio depends not just on the current price divergence but also on their prediction about future sentiment and the speed of price convergence.