MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps

摘要：

This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-di?usion framework. It is shown that the optimal trading strategies for MPS risk averse investors,if they exist,must be located on a so-called temporal e?cient frontier (t.e.f.). Analytic and qualitative characterizations of the t.e.f. are provided and are shown to form a hyperbola in the μ-σ plane. This paper also provides insights on (I) dynamic consistency underlying those temporal e?cient trading strategies; (ii) mutual fund separation in extending the classical notion of Tobin (1958) and Black (1972) to this continuous-time setting; (iii) risk decomposition in presence of Lévy jumps,and (iv) di?erences between MPS risk averse investors and the expected utility investors concerning their optimal trading bahaviour.

作者: Chenghu Ma

作者单位: WISE,Xiamen University,China

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）