Downside Loss Aversion and Portfolio Management
Downside Loss Aversion and Portfolio Management
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DOI：
10.1287/mnsc.1050.0486
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发表时间：
2006-04
期刊：
影响因子：
--
通讯作者：
R. Jarrow;Feng Zhao
中科院分区：
文献类型：
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作者：
R. Jarrow;Feng Zhao
在投资组合管理文献中，向下的损失厌恶偏好已经出现了复苏。这是由于在管理股票投资组合时越来越多地使用衍生工具，以及在管理债券投资组合时越来越多地使用量化技术。我们采用下偏矩作为下行损失厌恶的风险度量，并比较了非正态资产收益率分布下的均值-方差（M-V）和均值-下偏矩（M-LPM）最优投资组合。当资产收益率服从近似正态分布时，最优M-V和M-LPM投资组合之间的差异很小。当资产收益率非正态且左尾较大时，我们证明了M-V和M-LPM最优投资组合的显著差异。这一观察结果与股票投资组合中M-V理论的行业用法一致，但与固定收益投资组合中的M-V理论不一致。
Downside loss-averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing use of derivatives in managing equity portfolios and the increased use of quantitative techniques for bond portfolio management. We employ the lower partial moment as a risk measure for downside loss aversion and compare mean-variance (M-V) and mean-lower partial moment (M-LPM) optimal portfolios under nonnormal asset return distributions. When asset returns are nearly normally distributed, there is little difference between the optimal M-V and M-LPM portfolios. When asset returns are nonnormal with large left tails, we document significant differences in M-V and M-LPM optimal portfolios. This observation is consistent with industry usage of M-V theory for equity portfolios but not for fixed-income portfolios.