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2012年金融学院博士生论坛(二十五)
发布时间:2012-12-14 来源:本站原创  


本周博士论坛安排

时间2012121412:00--13:30(周五)

主题黄锦舞:The Choice of Portfolio Allocation for Regret-Averse Investors under Uncertainty

地点毓秀楼208


文章的摘要如下:

The Choice of Portfolio Allocation for Regret-Averse Investors under Uncertainty

The decision of portfolio allocation for regret-averse investors confront a portfolio consists of two different risky assets is studied in this paper by extending existing literatures. First of all, we see anticipated disutility from regret has potent effects on diversification choices. Secondly, by comparing the diversification choice of regret-averse investors with that of risk-averse counterparts, we find the two different type of investors make the coincident behavior if and only if the stochastic returns of the two risky assets are independent and identically distributed. Thirdly, a necessary and sufficient condition for diversification is optimal is given for the regret-averse type investors. The last but not the least, we prove that the diversification choice will change with the weight of regret aversion relative to risk aversion.


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