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عمومی::
ریسکگریزی، ریسک گریزی
They may not exhibit risk aversion when they invest a portion of their wealth in stocks for aspirational reasons.
Appendix D, we show how this can be approximated by each period using Markowitz's mean-variance optimization criterion for the investment port- folio, setting the risk aversion tradeoff between expected return and return variance based on the leverage ratio of investments to discretionary wealth.
Note that L/2 provides the risk aversion parameter that otherwise would rely on the investor or adviser's subjective judgment.
Let us assume Markowitz optimization with a risk aversion of L/2, and analyze its results for a portfolio consisting of only a risky bundle of securities (e.g.
increasing risk aversion as the value of one's portfolio drops.،
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