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

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