动态投资组合选择中的模型模糊性与模型误设

中文摘要

我们研究了动态投资组合选择中对模型模糊性与模型误设的规避。当面对关于独立同分布（IID）收益的模型误设担忧时，风险厌恶型投资者（相对风险厌恶系数 γ > 1）恐惧收益的持续性，而风险容忍型投资者（0 < γ < 1）则恐惧均值回归。其直觉在于，希望进行跨期对冲的风险厌恶型投资者会内生地恐惧收益持续性，而这恰恰排除了对冲的可能。对数效用投资者是短视的，不受模型误设的影响，因而只担心模型模糊性。我们的模型能够生成信念创伤、股市不参与以及外推性收益预期。在超越 IID 收益的层面上，我们研究了均值回归夏普比率的模型误设。

Abstract

ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ > 1) fear return persistence, while risk‐tolerant investors (0 < γ < 1) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID) returns. The intuition is that risk‐averse investors, who want to hedge intertemporally, endogenously fear return persistence, which precludes hedging. A log investor is myopic and unaffected by model misspecification, therefore only worrying about model ambiguity. Our model can generate belief scarring, nonparticipation in equity markets, and extrapolative return expectations. Extending beyond IID returns, we study model misspecification for a mean‐reverting Sharpe ratio.