| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Uncertainty Aversion, Robust Control and Asset Holdings | |
| Anastasios Xepapadeas; Giannis Vardas | |
| 发表日期 | 2004 |
| 出处 | Economy and Society |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor's wealth could increase as compared to the holdings under the Merton rule, which is the standard risk aversion case. With two risky assets an increase in the holdings of the one risky asset is accompanied by a reduction in the holdings of the other asset. Furthermore, in the optimal robust portfolio the investor may increase the holdings of the asset for which there is or less ambiguity, and reduce the holding of the asset for which there is more ambiguity, a result that might provide an explanation of the home bias puzzle. |
| 特色分类 | G11,D81 |
| 关键词 | Uncertainty aversion,Model misspecification,Robust control,Portfolio choice models |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/uncertainty-aversion-robust-control-and-asset-holdings/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117017 |
| 推荐引用方式 GB/T 7714 | Anastasios Xepapadeas,Giannis Vardas. Uncertainty Aversion, Robust Control and Asset Holdings. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2004-066.pdf（618KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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