Strategic Asset Allocation under Narrow Framing / Loss Aversion and Volatility Feedback
2005/10/11
研討會日期 : 2005-10-11
時間 : 15:00
主講人 : Prof. Chung, Ching-Fan
地點 : B棟110室
演講者簡介 : Prof. Chung, Ching-Fan為Ph.D. in Economics，University of Wisconsin-Madison (1987)。
現為本所研究員。
其主要研究領域為Econometrics、Financial Economics Applied及Microeconomics。
演講摘要 : We study the dynamic asset allocation problem in a general framework where the representative investor's preferences include narrow framing/loss aversion parameters while the intertemporal budget constraint contains the empirically validated volatility feedback effects. The main conclusion is that the optimal dynamic allocation of wealth among investment, consumption, and savings over different time horizons can be solved in an analytically tractable way and is found to be profoundly influenced by the interactions between narrow framing/loss aversion and the volatility feedback effects. In other words, a more thorough deliberation of the intertemporal budget constraint is indispensable to the analysis of narrow framing/loss aversion preferences in a dynamic asset allocation problem.
