Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
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DOI：
10.1016/j.jet.2005.12.012
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发表时间：
2006-05-01
影响因子：
1.6
通讯作者：
Maenhout, Pascal J.
中科院分区：
文献类型：
--
作者：
Maenhout, Pascal J.
我分析了一位投资者的最优跨期投资组合问题，该投资者担心模型误设，并且在面临均值回归的风险溢价时坚持稳健的决策规则。对稳健性的追求降低了股票的总份额，但增加了跨期套期保值需求的比例。我提出了一种计算检测努力概率的方法，该方法基于拉东 - 尼科迪姆导数的条件特征函数的傅里叶逆变换。稳健性的定量影响比在独立同分布（i.i.d.）设定下更为温和，因为如检测误差概率所示，基准模型和最坏情况的替代模型之间的模型区分更容易。（c）2006爱思唯尔公司。保留所有权利。
I analyze the optimal intertemporal portfolio problem of an investor who worries about model misspec-ification and insists on robust decision rules when facing a mean-reverting risk premium. The desire for robustness lowers the total equity share, but increases the proportion of the intertemporal hedging demand. I present a methodology for calculation of detection-effor probabilities, which is based on Fourier inversion of the conditional characteristic functions of the Radon-Nikodym derivatives. The quantitative effect of robustness is more modest than in i.i.d. settings, because model discrimination between the benchmark and the worst-case alternative model is easier, as indicated by the detection-error probabilities. (c) 2006 Elsevier Inc. All rights reserved.