In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and...In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.展开更多
Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
This paper analyzes the impact of health insurance on household portfolio choice. Using the U.S. Survey of Consumer Finance and Health Retirement Survey databases, it finds that insured households are more likely to o...This paper analyzes the impact of health insurance on household portfolio choice. Using the U.S. Survey of Consumer Finance and Health Retirement Survey databases, it finds that insured households are more likely to own stocks and invest a larger proportion of financial assets in stocks than uninsured households do. The results remain strong even after controlling for household characteristics and reverse causality. Furthel, the results are robust across different survey years and data sources. It suggests that a precautionary motive is strong in household portfolio choice decisions.展开更多
基金support from the Fundamental Research Funds for the Central Universities(22D110913)Jingzhou Yan gratefully acknowledges the financial support from the National Social Science Foundation Youth Project(21CTJ013)+1 种基金Natural Science Foundation of Sichuan Province(23NSFSC2796)Fundamental Research Funds for the Central Universities,Postdoctoral Research Foundation of Sichuan University(Skbsh2202-18).
文摘In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
基金Supported by National Natural Science Foundation of China （10671112）, National Basic Research Program of China （973 Program） （2007CB814904）, the Natural Science Foundation of Shandong Province （Z2006A01）, and the Chinese New Century Young Teachers Program The authors would like to thank the referees for a careful reading of this paper and helpful suggestions which made the revised version more readable.
文摘This paper analyzes the impact of health insurance on household portfolio choice. Using the U.S. Survey of Consumer Finance and Health Retirement Survey databases, it finds that insured households are more likely to own stocks and invest a larger proportion of financial assets in stocks than uninsured households do. The results remain strong even after controlling for household characteristics and reverse causality. Furthel, the results are robust across different survey years and data sources. It suggests that a precautionary motive is strong in household portfolio choice decisions.
