Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio
Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio
复制标题
模糊厌恶投资者的共同基金定理与市场投资组合的最优性
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Toshiki Honda
中科院分区：
文献类型：
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作者：
Chiaki Hara;Toshiki Honda
我们研究了在包含歧义的CARA- normal设置中，具有Klibanoff， Marinacci, and Mukerji（2005）和Maccheroni， Marinacci, and Ru no（2013）形式的效用函数的模糊性厌恶投资者的最优投资组合选择问题。我们扩展了共同基金定理以适应歧义性，确定了对某些厌恶歧义的投资者来说，给定投资组合是最优的充分必要条件，描述了给定投资组合是最优的所有歧义结构，并在两种意义上使最小的歧义结构变得精确。我们还计算了基于美国股票市场数据的最小歧义结构，并且市场组合最优的最小歧义厌恶系数等于9.31。
We study the optimal portfolio choice problem for an ambiguity-averse investor having a utility function of the form of Klibanoff, Marinacci, and Mukerji (2005) and Maccheroni, Marinacci, and Ru no (2013) in an ambiguity-inclusive CARA- normal setup. We extend the mutual fund theorem to accommodate ambiguity, identify a necessary and sufficient condition for a given portfolio to be optimal for some ambiguity-averse investor, characterize all the ambiguity structure under which the given portfolio is optimal, and nd the minimal ones in two senses to be made precise. We also calculate the minimal ambiguity structures based on the U.S. equity market data and nd the smallest coefficient of ambiguity aversion with which the market portfolio is optimal is equal to 9.31.