论文标题
歧义下的最佳投资和均衡定价
Optimal Investment and Equilibrium Pricing under Ambiguity
论文作者
论文摘要
我们考虑在参考分布附近的非参数$α$ -maxmin歧义下选择投资组合。我们在模棱两可的厌恶之中表现出严格的投资组合问题凹陷。隐含的需求函数是非不同的，类似于观察到的出价差异，并且与歧义下的现有参数限制参与结果一致。寻求模棱两可的寻求者表现出不连续的需求功能，这意味着一组空无一人的保留价格。如果代理具有相同或足够相似的先前信念，那么第一最好的平衡就不是贸易。简单条件产生了帕累托高效的第二好的平衡，这意味着歧义性偏好的异质性足以足以在所有其他同质交易者之间互惠互利交易。这些均衡调和了许多观察到的现象在液体高信息金融市场中，例如流动性干燥，投资组合惯性和负面风险溢价。
We consider portfolio selection under nonparametric $α$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are consistent with existing parametric limiting participation results under ambiguity. Ambiguity seekers exhibit a discontinuous demand function, implying an empty set of reservation prices. If agents have identical, or sufficiently similar prior beliefs, the first-best equilibrium is no trade. Simple conditions yield the existence of a Pareto-efficient second-best equilibrium, implying that heterogeneity in ambiguity preferences is sufficient for mutually beneficial transactions among all else homogeneous traders. These equilibria reconcile many observed phenomena in liquid high-information financial markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia.
