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Dynamic Mutual Fund Investment Decision in the Presence of Labor Income Risk
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Dynamic Mutual Fund Investment Decision in the Presence of Labor Income Risk
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| Creator |
Wen-chang Lin
Jin-ray Lu I-yuan Chuang |
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| Description |
In the mutual fund investment, two critical decisions to be made are the quantity of shares purchased by investors and the portfolio choice rule by mutual fund manager. By recognizing the fact that the payoffs of the two agents are closely related to their jointly dynamic fund flows, which are considerably affected by the flows of investorsf uninsurable labor income, we show that, the two agentsf decisions will appear to be strategically interdependent and it can be analyzed in a manner of stochastic differential game. In this paper, we also show that whether one agentfs decision will take into account another agentfs risk attitude depends on their cooperative relationship. We conclude that, instead of the absolute value of risk aversion level commonly supported by single agent model, the investment decision in a simultaneous two-agent game model is related to the relative level of their risk aversion degree. Key words: mutual fund, portfolio choice, labor income risk, stochastic differential game |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-06-22
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011163
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| Source |
Journal of Financial Studies; Vol 12, No 2 (2004); 143
財務金èžå¸åˆŠ; Vol 12, No 2 (2004); 143 |
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| Language |
—
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