Robust portfolio rules and asset pricing
Robust portfolio rules and asset pricing
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DOI：
10.1093/rfs/hhh003
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发表时间：
2004-12-01
影响因子：
8.2
通讯作者：
Maenhout, PJ
中科院分区：
文献类型：
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作者：
Maenhout, PJ
我提出了一种针对投资者的动态投资组合和消费问题的新方法，该投资者担心模型不确定性（除市场风险之外），并按照安德森、汉森和萨金特（2002年）的思路寻求稳健的决策。根据最大最小期望效用，稳健的投资者针对某些内生的最坏情况进行投保。我首先表明，稳健性极大地降低了对股票的需求，并且在消除财富效应时，在观测上等同于递归偏好。然而，与标准的递归偏好不同，稳健性导致了特定环境下的“有效”风险厌恶。作为一种扩展，我给出了稳健的杜菲 - 爱泼斯坦 - 津恩投资者的投资组合问题的一个封闭形式的解。最后，稳健性提高了均衡股权溢价并降低了无风险利率。合理的参数会产生4%到6%的股权溢价。
I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen, and Sargent (2002). In accordance with max-min expected utility, a robust investor insures against some endogenous worst case. I first show that robustness dramatically decreases the demand for equities and is observationally equivalent to recursive preferences when removing wealth effects. Unlike standard recursive preferences, however, robustness leads to environment-specific "effective" risk aversion. As an extension, I present a closed-form solution for the portfolio problem of a robust Duffie-Epstein-Zin investor. Finally, robustness increases the equilibrium equity premium and lowers the risk-free rate. Reasonable parameters generate a 4% to 6% equity premium.