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3 juin 2023
- handle: 10670/1.9z9g20
- hal: hal-04511390
- doi: 10.1080/00213624.2023.2200650
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info:eu-repo/semantics/altIdentifier/doi/10.1080/00213624.2023.2200650
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Fortunes Riches Affluence Distribution of wealth Investing Investment management Portfolio Pattern ModelCiter ce document
Sébastien Galanti et al., « Can Blockchain Help Improve Financial Inclusion? A Comparative Study », HAL-SHS : économie et finance, ID : 10.1080/00213624.2023.2200650
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Résumé
I study the allocation problem of investors who hold their portfolio until reaching a target wealth. The strategy suppresses final wealth uncertainty but creates a time horizon risk. I begin with a classical mean variance model transposed in the duration domain, then study a dynamic portfolio choice problem with Generalized Expected Discounted Utility preferences. Using long-term US return data, I show in the mean variance model that a large amount of time horizon risk can be diversified away by investing a significant share of equities. In the dynamic model, more impatient investors are also more averse to timing risk and invest less in equities. The optimal equity share is downward trending as accumulated wealth approaches its target.