全球智库信息集成服务系统(G2TT): DP2897 Education, Distributive Justice and Adverse Selection

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP2897
	DP2897 Education, Distributive Justice and Adverse Selection
	Robert J. Gary-Bobo; Marc Fleurbaey; Denis Maguain
发表日期	2002-04-20
出版年	2002
语种	英语
摘要	In this Paper we develop a model of intertemporal portfolio choice where an investor accounts explicitly for the possibility of model misspecification. This work is motivated by the difficulty in estimating precisely the probability law for asset returns. Our contribution is to develop a framework that allows for ambiguity about the joint distribution of returns for all stocks being considered for the portfolio, and also for different levels of ambiguity for the marginal distribution of returns for any subset of these stocks. We then use this framework to derive in closed-form the optimal portfolio weights of an investor who accounts for model misspecification. We illustrate the model by calibrating it to data on international equity returns. The calibration shows that when the overall ambiguity about the joint distribution of returns is high, then small differences in ambiguity for the marginal return distribution will result in a portfolio that is significantly under-diversified relative to the standard mean-variance portfolio.
主题	Financial Economics
关键词	Portfolio choice Uncertainty Ambiguity Robust control
URL	https://cepr.org/publications/dp2897
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/532319
推荐引用方式 GB/T 7714	Robert J. Gary-Bobo,Marc Fleurbaey,Denis Maguain. DP2897 Education, Distributive Justice and Adverse Selection. 2002.