Time-Varying Risk Aversion and Dynamic Portfolio Allocation
研究了风险厌恶随时间变化对动态资产配置的影响，提出一种高效动态规划算法，发现基于VIX预测体制转换的投资者比恒定风险厌恶者表现更好。
Despite the overwhelming evidence of time-varying risk aversion documented in recent literature, standard dynamic portfolio theories often adopt an assumption of constant (relative) risk aversion due to analytical tractability. In “Time Varying Risk Aversion and Dynamic Portfolio Allocation,” Li et al. explicitly consider the implications of time-varying risk aversion for dynamic portfolio allocation under the framework of regime-switching models. An investor with regime-dependent utility exhibits a decreasing relative risk aversion (DRRA) and has higher risk aversion when a bear market regime is more likely in the future. They develop an efficient dynamic programming algorithm that overcomes the challenges imposed by regime-dependent preference in obtaining time-consistent portfolio policies. The empirical results show that VIX is an important predictor of regime shifts and that investors with regime-dependent risk aversion achieve better investment performance than those with constant risk aversion.