本文假定在只有一种风险资产的金融市场中有两类投资者,由于信息不对称不透明交易者知道更多的信息,能推断出风险资产溢价所服从分布的均值和方差;而透明交易者由于知道的信息较少,所以对于风险资产的溢价是服从分布的均值与方差是模糊...本文假定在只有一种风险资产的金融市场中有两类投资者,由于信息不对称不透明交易者知道更多的信息,能推断出风险资产溢价所服从分布的均值和方差;而透明交易者由于知道的信息较少,所以对于风险资产的溢价是服从分布的均值与方差是模糊的。本文假定透明交易者对风险资产溢价的期望和方差存在模糊,这种模糊性对透明交易者的需求函数产生影响,重点在于分析模糊情况下各个因素的变化对需求函数的影响。透明交易者是模糊厌恶的交易者,其投资决策依据光滑厌恶模型。研究发现:相较于风险对不透明交易者的影响,模糊对于透明交易者的影响是有过之而无不及,加强信息的披露降低交易者交易的模糊性有利于市场的稳定。This paper assumes a financial market with only one risky asset and two types of investors. Due to information asymmetry, opaque traders possess more information and can infer the mean and variance of the distribution of the risky asset’s premium. In contrast, transparent traders, having less information, perceive the mean and variance of the risky asset’s premium as vague. This paper assumes that transparent traders face uncertainty regarding the expected value and variance of the risky asset’s premium, which in turn affects their demand function. The focus is on analyzing how different factors influence the demand function under conditions of uncertainty. Transparent traders are ambiguity-averse and make their investment decisions based on a smooth ambiguity aversion model. The study finds that compared to the impact of risk on opaque traders, the effect of ambiguity on transparent traders is even more significant. Enhancing information disclosure and reducing the ambiguity faced by traders is conducive to market stability.展开更多
文摘本文假定在只有一种风险资产的金融市场中有两类投资者,由于信息不对称不透明交易者知道更多的信息,能推断出风险资产溢价所服从分布的均值和方差;而透明交易者由于知道的信息较少,所以对于风险资产的溢价是服从分布的均值与方差是模糊的。本文假定透明交易者对风险资产溢价的期望和方差存在模糊,这种模糊性对透明交易者的需求函数产生影响,重点在于分析模糊情况下各个因素的变化对需求函数的影响。透明交易者是模糊厌恶的交易者,其投资决策依据光滑厌恶模型。研究发现:相较于风险对不透明交易者的影响,模糊对于透明交易者的影响是有过之而无不及,加强信息的披露降低交易者交易的模糊性有利于市场的稳定。This paper assumes a financial market with only one risky asset and two types of investors. Due to information asymmetry, opaque traders possess more information and can infer the mean and variance of the distribution of the risky asset’s premium. In contrast, transparent traders, having less information, perceive the mean and variance of the risky asset’s premium as vague. This paper assumes that transparent traders face uncertainty regarding the expected value and variance of the risky asset’s premium, which in turn affects their demand function. The focus is on analyzing how different factors influence the demand function under conditions of uncertainty. Transparent traders are ambiguity-averse and make their investment decisions based on a smooth ambiguity aversion model. The study finds that compared to the impact of risk on opaque traders, the effect of ambiguity on transparent traders is even more significant. Enhancing information disclosure and reducing the ambiguity faced by traders is conducive to market stability.