Mean-variance-utility portfolio selection with time and state dependent risk aversion
Portfolio Management
2020-08-11 v2
Abstract
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and analytically derived the equilibrium investment (consumption) policy. The results conform with the facts that optimal investment strategy heavily depends on the investor's wealth and future income-consumption balance as well as the continuous optimally consumption process is highly dependent on the consumption preference of the investor.
Keywords
Cite
@article{arxiv.2007.06510,
title = {Mean-variance-utility portfolio selection with time and state dependent risk aversion},
author = {Ben-Zhang Yang and Xin-Jiang He and Song-Ping Zhu},
journal= {arXiv preprint arXiv:2007.06510},
year = {2020}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2005.06782