模型不确定性条件下稳健投资行为与资产定价

Robust portfolio selection and asset pricing under model uncertainty

不确定性在很早以前就引起了经济学界的重视.本文通过一个异质偏好下的世代交叠模型,研究了模型不确定性偏好对资产定价的影响.结果发现,均衡时的资产价格与模型不确定性偏好成反比,并且随市场上稳健投资者数量的增加而降低.另外,本文的结论能够解释股票溢价之谜.

The importance of uncertainty has long been recognized in economics. Using an overlapping generation model with heterogeneous investors in preference, this paper studies the impacts of model uncertainty on asset pricing. The results show that model uncertainty aversion lowers the equilibrium price of risk asset that is inversely proportional to the aversion degree, and increasing the number of robust investors also lowers the equilibrium price. In addition, the paper sheds light on the equity premium puzzle.