Portfolio allocation problems between risky and ambiguous assets

被引：6

作者：

Asano, Takao ^{[1
]}

Osaki, Yusuke ^{[2
]}

机构：

[1] Okayama Univ, Fac Econ, Kita Ku, 3-1-1 Tsushimanaka, Okayama 7008530, Japan

[2] Waseda Univ, Fac Commerce, Shinjuku Ku, I-6-1 Nishiwaseda, Tokyo 1698050, Japan

来源：

ANNALS OF OPERATIONS RESEARCH | 2020年 / 284卷 / 01期

关键词：

Uncertainty modelling; Home bias puzzle; Portfolio allocation problem; Smooth ambiguity model; Greater ambiguity aversion; STOCHASTIC-DOMINANCE; EXPECTED UTILITY; COMPARATIVE STATICS; INCREASING RISK; HOME BIAS; AVERSION; CHOICES; EQUILIBRIUM; PROBABILITY; PROPORTIONS;

D O I：

10.1007/s10479-019-03206-1

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper considers a portfolio allocation problem between a risky asset and an ambiguous asset, and investigates how greater ambiguity aversion influences the optimal proportion invested in the two assets. We derive several sufficient conditions under which greater ambiguity aversion decreases the optimal proportion invested in the ambiguous asset. Furthermore, we consider an international diversification problem as an application and show that ambiguity aversion partially resolves the home bias puzzle.

引用

页码：63 / 79

页数：17

共 50 条

[1] Portfolio allocation problems between risky and ambiguous assets
Takao Asano
Yusuke Osaki
Annals of Operations Research, 2020, 284 : 63 - 79
[2] DEMAND FOR RISKY FINANCIAL ASSETS - A PORTFOLIO ANALYSIS
LANDSBERGER, M
MEILIJSON, I
JOURNAL OF ECONOMIC THEORY, 1990, 50 (01) : 204 - 213
[3] Marriage and other risky assets: A portfolio approach
Bertocchi, Graziella
Brunetti, Marianna
Torricelli, Costanza
JOURNAL OF BANKING & FINANCE, 2011, 35 (11) : 2902 - 2915
[4] Optimal portfolio and reinsurance with two differential risky assets
Yi, Haoran
Zhang, Xuekang
Shan, Yuanchuang
Shu, Huisheng
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023, 52 (19) : 7094 - 7114
[5] The Impact of Regret and Rejoicing on The Allocation of Risky Assets
Bien, Franck
Lanzi, Thomas
REVUE D ECONOMIE POLITIQUE, 2018, 128 (04): : 613 - 639
[6] ESG/Green Investment and Allocation of Portfolio Assets
Yoshino, Naoyuki
Yuyama, Tomonori
ESTUDIOS DE ECONOMIA APLICADA, 2021, 39 (03): : 1 - 16
[7] MEAN-GINI, PORTFOLIO THEORY, AND THE PRICING OF RISKY ASSETS
SHALIT, H
YITZHAKI, S
JOURNAL OF FINANCE, 1984, 39 (05): : 1449 - 1468
[8] On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
A. Burak Paç
Mustafa Ç. Pınar
Annals of Operations Research, 2018, 266 : 223 - 253
[9] On robust portfolio and na⟨ve diversification: mixing ambiguous and unambiguous assets
Pac, A. Burak
Pinar, Mustafa C.
ANNALS OF OPERATIONS RESEARCH, 2018, 266 (1-2) : 223 - 253
[10] Multiperiod portfolio optimization with multiple risky assets and general transaction costs
Mei, Xiaoling
DeMiguel, Victor
Nogales, Francisco J.
JOURNAL OF BANKING & FINANCE, 2016, 69 : 108 - 120

← 1 2 3 4 5 →