Mean-variance portfolio with wealth and volatility dependent risk aversion
研究风险厌恶率同时依赖财富和波动率时的均值-方差投资组合选择，将风险厌恶率分解为财富谨慎率和波动谨慎率，并推导出最优交易规则。
Risk aversion rate plays a significant role in mean-variance portfolio selection. Most existing literature assumes it to be constant or wealth dependent, which is unrealistic. In this study, I contend that it is both wealth and volatility dependent because it varies across economic status: either steady or fluctuated. In addition, I decompose the risk aversion rate into a wealth prudence rate and a volatility prudence rate and investigate their mutual effect on portfolio selection under a continuous-time mean-variance framework. Using Game theoretic approach and asymptotic expansion, I derive the optimal trading rule analytically.