Adaptive Portfolio Allocation with Options  

Oleh:

Benzion, Uri ; Haruvy, Ernan ; Shavit, Tal

Jenis: Article from Bulletin/Magazine
Dalam koleksi: The Journal of Behavioral Finance vol. 5 no. 1 (2004), page 43-56.
Fulltext: JJ137_2004_05-01_Benzion.pdf (550.28KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ137 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We conducted a laboratory experiment of repeated portfolio allocation choice be tween a bond, a stock, and a put option on the stock. The study involves two condi tions: a full hedging possibility and a partial hedging possibility. Surprisingly, partic ipants were able to converge to the mean-variance frontier in the environment with partial hedging possibilities, but were unable to do so in the full hedging condition. This suggests that subjects may not be cognizant of the mean-variance frontier. If sub jects begin away from the frontier and have to adjust toward it, incentives off the fron tier are critical. Simulations of adaptive dynamic models confirm this assertion. The study provides insight into the adaptive behavior of investors in the presence of hedg ing possibilities and implications for efficient investment strategies.

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