2020/07/10 by Yang, Ben-Zhang, He, Xin-Jiang, Zhu, Song-Ping
#FOS: Economics and business #Portfolio Management (q-fin.PM)
paper · doi:10.48550/arxiv.2007.06510
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.