Earticle

초록

영어

In this paper, we consider the portfolio choice problem for Gul(1991)'s disappointment averse investors in continuous time economy. Assuming a complete market and general ge- ometric Brownian motions for asset prices, we provide the analytic method to derive the formulas for the optimal wealth and portfolio weight. In order to explore some important implications, we use the disappointment aversion preferences of Gul(1991) associated with the constant relative risk aversion utility and compare it to the standard CRRA utility. We show that the portfolio weight under the disappointment aversion model is less than under the standard CRRA model. This result partially explains the portfolio puzzle of Mankiw and Zeldes(1991). Also, we ¯nd that the portfolio weight under the disappointment aversion model is changed among the time horizon.

목차

ABSTRACT
 1 Introduction
 2 Investment Problems
 3 Optimal Strategies under Di®erent Utility Assumptions
  3.1 Standard Smooth Utility
  3.2 Disappointment Averse Utility
 4 The CRRA Utility Case and Numerical Results
  4.1 Solutions under CRRA Utility
  4.2 Solutions under DA Utility
  4.3 Numerical Implications
 5 Conclusion
 References
 Appendix

저자

• Ji Hee Yoon [ Department of Mathematical Sciences, KAIST, Daejeon, Korea. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330