Portfolio selection with mental accounts and background risk
Portfolio selection with mental accounts and background risk
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DOI：
10.1016/j.jbankfin.2011.10.015
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发表时间：
2012-04-01
影响因子：
3.7
通讯作者：
Baptista, Alexandre M.
中科院分区：
文献类型：
--
作者：
Baptista, Alexandre M.
Das et al.（2010）开发了一个模型，投资者将他或她的财富分配给心理账户，这些心理账户的动机包括退休和遗赠。然而，投资者最终选择的投资组合是在心理账户内，而总体投资组合位于均值-方差边界上。重要的是，他们假设投资者只面临投资组合风险。然而，在实践中，许多人也面临背景风险。因此，本文通过考虑投资者面临背景风险的情况，对他们的理论进行了扩展。我们的贡献是三方面的。首先，我们提供了一个分析特征的存在性和组成的最佳投资组合的帐户和总投资组合。第二，我们表明，这些投资组合位于远离均值-方差前沿相当一般的条件下。第三，我们发现，这样的投资组合的组成和位置可以显着不同的投资组合的均值-方差边界。(C)2011 Elsevier BM. All rights reserved.
Das et al. (2010) develop a model where an investor divides his or her wealth among mental accounts with motives such as retirement and bequest. Nevertheless, the investor ends up selecting portfolios within mental accounts and an aggregate portfolio that lie on the mean-variance frontier. Importantly, they assume that the investor only faces portfolio risk. In practice, however, many individuals also face background risk. Accordingly, our paper expands upon theirs by considering the case where the investor faces background risk. Our contribution is threefold. First, we provide an analytical characterization of the existence and composition of the optimal portfolios within accounts and the aggregate portfolio. Second, we show that these portfolios lie away from the mean-variance frontier under fairly general conditions. Third, we find that the composition and location of such portfolios can differ notably from those of portfolios on the mean-variance frontier. (C) 2011 Elsevier BM. All rights reserved.