Do aggressive funds reallocate their portfolios aggressively? |
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| Authors: | Kevin C H Chiang Xiyu Zhou |
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| Institution: | 1. School of Business Administration, University of Vermont, Burlington, VT 05405‐0158, USA;2. School of Management, University of Alaska, Fairbanks, AK99775‐6080, USA |
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| Abstract: | This study examines pairs of asset allocation mutual funds that are controlled for all informational attributes, except for the level of risk aversion. Standard mean‐variance models of portfolio choice suggest that the percentage rebalancing of common stocks in aggressive funds would be the same as that in conservative funds. However, this study finds the rebalancing of common stocks in aggressive funds to be disproportionally less intense. |
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| Keywords: | Asset allocation Dynamic choice Risk aversion Mutual funds D9 G11 |
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