Portfolio Selection under Median and Quantile Maximization
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function. We use the intra-personal equilibrium approach to study the problem. Interestingly, we find that the only viable outcome is from the median maximization, because for other quantiles either the equilibrium does not exist or there is no investment in the risky assets. The median maximization strategy gives a simple explanation to why wealthier people invest more percentage of their wealth in risky assets.
PDF AbstractTasks
Datasets
Add Datasets
introduced or used in this paper
Results from the Paper
Submit
results from this paper
to get state-of-the-art GitHub badges and help the
community compare results to other papers.
Methods
No methods listed for this paper. Add
relevant methods here
