Risk, Ambiguity, and the Value of Diversification

• 成果类型: Article
• 署名作者: Berger, Loic; Eeckhoudt, Louis
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Universite de Lille; IESEG School of Management; Universite de Lille; IESEG School of Management
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3823
• 发表日期: 2021
• 关键词: Diversification; ambiguity aversion; model uncertainty; hedging

摘要

Diversification is a basic economic principle that helps to hedge against uncertainty. It is, therefore, intuitive that both risk aversion and ambiguity aversion should positively affect the value of diversification. In this paper, we show that this intuition (1) is true for risk aversion but (2) is not necessarily true for ambiguity aversion. We derive sufficient conditions, showing that, contrary to the economic intuition, ambiguity and ambiguity aversion may actually reduce the diversification value.