总体投资组合选择

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-03-18 DOI:10.1016/j.jempfin.2024.101494

Joachim Inkmann

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引用次数: 0

摘要

重要的投资组合选择决策是由大量异质个体投资者做出的。我建议求解个体欧拉方程的横截面平均值，以便在 "一刀切 "的限制条件下为投资者群体找到最优投资组合。利用动态投资组合选择模型为 72 个假定的行业养老金计划设计平衡违约基金，平均欧拉方程取决于特定行业的人均收入增长和特异性收入冲击矩。收益增长和风险资产收益率共同分布矩的行业间异质性（包括相关性和峰度）解释了行业间最优选择变量的差异。

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Aggregate portfolio choice

Important portfolio choice decisions are made for large groups of heterogeneous individual investors. I propose solving the cross-sectional average of the individual Euler equations to find an optimal portfolio for an aggregate of investors under one-size-fits-all constraints. Using a dynamic portfolio choice model to design balanced default funds for 72 hypothetical industry pension plans, the average Euler equations depend on industry-specific per-capita earnings growth and moments of idiosyncratic earnings shocks. Inter-industry heterogeneity in moments of the joint distribution of earnings growth and the return on risky assets, including correlation and cokurtosis, explains the variation in optimal choice variables across industries.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.