`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers

Vasyl Golosnoy and Nestor Parolya

Papers from arXiv.org

Abstract: We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to cope with estimation risk. We relate these penalties to individuals' wish of social learning and introduce a mutual fund (investment club) aggregating group member preferences unknown for individual savers. We derive the explicit analytical solution for the fund's optimal portfolio weights and show advantages to invest in such a fund for individuals willing to mimic.

Date: 2016-11
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Published in Quantitative Finance, 17:11, 1645-1653, 2017

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http://arxiv.org/pdf/1611.01524 Latest version (application/pdf)

Related works:
Journal Article: ‘To have what they are having’: portfolio choice for mimicking mean–variance savers (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1611.01524

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