Robust consumption and portfolio choice for time varying investment opportunities
Robust consumption and portfolio choice for time varying investment opportunities
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DOI：
10.2139/ssrn.1447252
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发表时间：
2010-05
影响因子：
1
通讯作者：
Hening Liu
中科院分区：
文献类型：
--
作者：
Hening Liu
本文研究了具有递归偏好的投资者的连续时间跨期消费和投资组合选择问题。投资者担心模型误设，并寻求稳健的决策规则。风险资产的预期超额收益遵循均值回归过程。我发现对模型误设的担忧是否会降低对股票的总需求在很大程度上取决于风险厌恶程度和跨期替代态度。当跨期替代弹性约为1且风险厌恶程度适中时，对模型不确定性的厌恶会增加投资于股票的财富比例。基于检测误差概率的校准分析表明，稳健性的定量影响几乎可以忽略不计。
This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with recursive preferences. The investor worries about model misspecification and seeks robust decision rules. The expected excess return of a risky asset follows a mean-reverting process. I find that whether the concern about model misspecification decreases the total demand for equities largely depends on risk aversion and the attitude toward intertemporal substitution. When the elasticity of intertemporal substitution is about 1 and risk aversion is moderate, the aversion to model uncertainty increases the proportion of wealth invested in equities. The calibration analysis based on detection-error probabilities shows that the quantitative effect of robustness is almost negligible.