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arXiv · 2007.06510

Mean-variance-utility portfolio selection with time and state dependent risk aversion

Ben-Zhang Yang·Xin-Jiang He·Song-Ping Zhu
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Abstract

Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and analytically derived the equilibrium investment (consumption) policy. The results conform with the facts that optimal investment strategy heavily depends on the investor's wealth and future income-consumption balance as well as the continuous optimally consumption process is highly dependent on the consumption preference of the investor.

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Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu. 2020-07-10. Mean-variance-utility portfolio selection with time and state dependent risk aversion. https://arxiv.org/abs/2007.06510

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