科学研究
Portfolio Rebalancing with Realization Utility
戴民 教授(新加坡国立大学)
发布时间:2021-09-23        浏览次数:10

题目:Portfolio Rebalancing with Realization Utility

报告人:戴民 教授(新加坡国立大学)

地点:致远楼101室

时间:2021年9月24日 16:30-17:30

摘要:We develop a dynamic tractable model where an investor derives realization utility as in Barberis and Xiong (2012) and Ingersoll and Jin (2013), but importantly can dynamically rebalance her portfolio between a risky asset and a risk-free asset. We show that the option of investing in the risk-free asset is quite valuable, even though the investor only derives utility from realized gains and losses of trading the risky asset. We also find that the investor may realize losses after a slight rally following a crash. This work is jointly with Cong Qin and Neng Wang

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