Portfolio Choices and Asset Prices under EUUP: The Comparative Statics Analysis
Portfolio Choices and Asset Prices under EUUP: The Comparative Statics Analysis
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DOI：
10.2139/ssrn.3943729
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发表时间：
2021-10
期刊：
影响因子：
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通讯作者：
Hideki Iwaki;Y. Osaki
中科院分区：
文献类型：
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作者：
Hideki Iwaki;Y. Osaki
本文研究了标准的静态投资组合问题和具有不确定性或模糊性的资产定价问题。每个投资者的偏好由Izhakian（2017）的不确定概率期望效用（EUUP）表示。首先，我们证明了模糊厌恶（爱好）投资者是否投资于不确定资产的门槛高于（低于）模糊中性投资者。这可能部分解决“市场参与之谜”。接下来，我们展示了更多的模糊性厌恶减少对不确定资产的需求的条件。最后，我们推导出状态价格密度（SPD）。将经验估计的参数值应用到导出的参数值上，我们证明了它的形状不是单调下降的，而是凸起的。结果表明，EUUP为“定价核难题”提供了另一种可能的解决方案。
This paper examines the standard static portfolio problem and asset pricing under the Knightian uncertainty or ambiguity. Each investor’s preference is represented by the expected utility with uncertainty probability (EUUP) of Izhakian (2017). First, We show the threshold of an ambiguity-averse (-loving) investor for whether or not she/he invests in uncertain assets is higher (lower) than that of ambiguity-neutral investors. This might give partial solution for “market participating puzzle.” Next, we show conditions under which more ambiguity aversion reduces demand for the uncertain asset. Finally, we derive the state price density (SPD). Applying the empirically estimated parameter values to the derived one, we show the shape of it is not monotone decreasing but bumped. The result shows that EUUP gives another plausible solution for “pricing kernel puzzle.”