This study extends the multi-asset model of Huang et al.(2017),who examine only two types of investors,by adding a new investor type with partial information on the correlation coefficient and re-explores the limited ...This study extends the multi-asset model of Huang et al.(2017),who examine only two types of investors,by adding a new investor type with partial information on the correlation coefficient and re-explores the limited participation phenomenon under correlation ambiguity.We investigate whether asset allocations depend on incomplete information under market equilibrium—specifically,whether investors with less information might hold greater equilibrium positions than investors with more information.We find that,as the true correlation coefficient(and the maximum correlation coefficient for ambiguity-averse investors)increases and asset quality increases,investors with less information escape from low-to high-quality assets,thus exhibiting a flight-to-quality trading pattern in equilibrium.展开更多
基金National Natural Science Foundation of China(NSFC Grant Numbers:71773123 and 72173125).
文摘This study extends the multi-asset model of Huang et al.(2017),who examine only two types of investors,by adding a new investor type with partial information on the correlation coefficient and re-explores the limited participation phenomenon under correlation ambiguity.We investigate whether asset allocations depend on incomplete information under market equilibrium—specifically,whether investors with less information might hold greater equilibrium positions than investors with more information.We find that,as the true correlation coefficient(and the maximum correlation coefficient for ambiguity-averse investors)increases and asset quality increases,investors with less information escape from low-to high-quality assets,thus exhibiting a flight-to-quality trading pattern in equilibrium.
