Robust portfolio choice with uncertainty about jump and diffusion risk
Robust portfolio choice with uncertainty about jump and diffusion risk
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DOI：
10.1016/j.jbankfin.2013.08.023
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发表时间：
2013-12-01
影响因子：
3.7
通讯作者：
Larsen, Linda Sandris
中科院分区：
文献类型：
--
作者：
Branger, Nicole;Larsen, Linda Sandris
我们分析了一个模糊厌恶型投资者的投资组合规划问题。股票遵循跳跃 - 扩散过程。我们发现，对于扩散风险和跳跃风险的模糊厌恶之间存在显著差异。在不完全市场中，忽略跳跃风险的模糊性会导致更大的损失，而在完全市场中，忽略扩散风险的模糊性则更为严重。对于确定性的跳跃规模，我们表明，由于市场不完全性导致的损失在对一个风险因素的模糊厌恶程度上总是递增的，而在对另一个风险因素的模糊厌恶程度上是递减的。(C) 2013爱思唯尔有限公司。保留所有权利。
We analyze the portfolio planning problem of an ambiguity averse investor. The stock follows a jump-diffusion process. We find that there are pronounced differences between ambiguity aversion with respect to diffusion risk and jump risk. Ignoring ambiguity with respect to jump risk causes larger losses in an incomplete market, whereas ignoring ambiguity with respect to diffusion risk is more severe in a complete market. For a deterministic jump size we show that the loss from market incompleteness is always increasing in the level of ambiguity aversion with respect to one risk factor and decreasing in the level of ambiguity aversion with respect to the other risk factor. (C) 2013 Elsevier B.V. All rights reserved.