ダウンロード数: 174
タイトル: | Asset Demand and Ambiguity Aversion |
著者: | Hara, Chiaki Honda, Toshiki |
キーワード: | Ambiguity aversion optimal portfolio 1/N portfolio mutual fund theorem factor model Bayesian portfblio choice problem |
発行日: | Dec-2014 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 911 |
抄録: | We study the optimal portfolio choice problem of an investor who is averse to both risk and ambiguity. Using the class of utility functions proposed by Klibanoff, Marinacci, and Mukerji (2005), we establish a generalized mutual fund theorem, which shows that there are a fixed number of mutual funds that cater for all investors, regardless of their ambiguity aversion. We prove that the optimal portfolio is decomposed into two, one remaining and the other vanishing as the degree of ambiguity aversion goes to infinity. We also introduce factor models with ambiguity and compare our results with the Bayesian portfolio approach. |
URI: | http://hdl.handle.net/2433/192767 |
出現コレクション: | KIER Discussion Paper (英文版) |
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