Optimal payoffs under smooth ambiguity

IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
An Chen , Steven Vanduffel , Morten Wilke
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引用次数: 0

Abstract

We study optimal payoff choice for an investor in a one-period model under smooth ambiguity preferences, also called KMM preferences as proposed by Klibanoff et al. (2005). In contrast to the existing literature on optimal asset allocation for a KMM investor in a one-period model, we also allow payoffs that are non-linear in the market asset. Our contribution is fourfold. First, we characterize and derive the optimal payoff under KMM preferences. Second, we demonstrate that a KMM investor solves an equivalent problem to an investor under classical subjective expected utility (CSEU) with adjusted second-order probabilities. Third, we show that a KMM investor with exponential ambiguity attitude implicitly maximizes CSEU utility under the ‘worst-case’ second-order probabilities determined by his ambiguity aversion. Fourth, we reveal that optimal payoffs under ambiguity are not necessarily monotonically increasing in the market asset, which we illustrate using a log-normal market asset under drift and volatility uncertainty.
平稳模糊条件下的最优回报
我们研究的是平滑模糊偏好下单期模型中投资者的最优报酬选择,也就是克利巴诺夫等人(2005)所提出的。与现有关于 KMM 投资者在单期模型中的最优资产配置的文献相比,我们还允许市场资产的报酬是非线性的。我们的贡献有四个方面。首先,我们描述并推导了 KMM 偏好下的最优收益。其次,我们证明了 KMM 投资者解决的问题与(CSEU)下的投资者解决的问题是等价的,且具有调整后的二阶概率。第三,我们证明了具有指数模糊态度的 KMM 投资者在其模糊厌恶所决定的 "最坏情况 "二阶概率下隐含地最大化了 CSEU 效用。第四,我们揭示了在模糊性条件下,市场资产的最优报酬并不一定是单调递增的,我们用漂移和波动不确定性条件下的对数正态市场资产来说明这一点。
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来源期刊
European Journal of Operational Research
European Journal of Operational Research 管理科学-运筹学与管理科学
CiteScore
11.90
自引率
9.40%
发文量
786
审稿时长
8.2 months
期刊介绍: The European Journal of Operational Research (EJOR) publishes high quality, original papers that contribute to the methodology of operational research (OR) and to the practice of decision making.
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