Optimal Portfolio and Equity Premium Puzzle
Portfolio with one risk-free and one risky assets was explored in 1, 5, 6, 13-15, 18, 22 for risk averse investors. Most of them, for example, 1, 6, 13-15, 22 focus on empirical or numerical studies, except for some optimization problems solved simply by heuristics. Some analytical treatments have been carried out for single period portfolio choice models, and closed-form solutions were obtained for a number of interesting cases, see, for example, 5, 18. Since investors risk aversion is of first order 12, known results in 14 are constraint. Considering investors general risk aversion, this paper models portfolio with one risk-free and one risky assets for risk averse investors with general value functions, including specific power utility or risk of first order, explores optimal portfolio choice analytically, then interprets equity premium puzzle. Since this paper treats with general value functions including, in particular, ones of constant relative risk aversion, our results generalizes 1, 2, 6, 13-15, 22 on single period portfolio choice.
Xianhua Dai Hong Li
Wuhan Institute of Technology Wuhan, 430205, P.R.China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-3
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）