Keeping up with the Joneses and optimal diversification

被引:4
作者
Levy, Moshe [1 ]
Levy, Haim [1 ]
机构
[1] Hebrew Univ Jerusalem, IL-91905 Jerusalem, Israel
关键词
Diversification; Mean-variance efficiency analysis; Peer-effects; Keeping-up with the Joneses; Correlation loving; Capital Asset Pricing Model (CAPM); Stochastic dominance; CAPITAL-MARKET EQUILIBRIUM; RELATIVE WEALTH CONCERNS; MULTIVARIATE TESTS; PROSPECT-THEORY; ASSET PRICES; RISK; PORTFOLIO; EFFICIENCY; UTILITY; PERFORMANCE;
D O I
10.1016/j.jbankfin.2015.04.012
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Peer-effects have been shown to affect behavior, and can generally lead to investments choices that are mean-variance inefficient. This paper analyzes optimal diversification with peer-effects. We show that if individuals have keeping-up with the Joneses preferences and they take their peer-group reference as the market portfolio, Markowitz's mean-variance efficiency analysis and the CAPM equilibrium are intact. This holds for any keeping-up preferences, as well as heterogeneous combinations of such preferences. These results also extend to the Merton-Levy segmented-market model. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码:29 / 38
页数:10
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