Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors

• 成果类型: Article
• 署名作者: Hara, Chiaki; Honda, Toshiki
• 署名单位: Kyoto University; Hitotsubashi University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4097
• 发表日期: 2022
• 页码: 4246-4260
• 关键词: Ambiguity; Smooth ambiguity model; OPTIMAL PORTFOLIO; CAPM; mutual fund theorem; Sharpe ratio; pricing errors

摘要

.we investigate the optimal portfolio choice problem for an investor who has autility function of the smooth ambiguity model. We identify necessary and sufficientconditions for a given portfolio to be optimal for such an investor. We define the impliedambiguity of a portfolio as the smallest ambiguity aversion coefficient with which theportfolio is optimal, and the measure of ambiguity perception as the part of the variabilityin asset returns that can be attributed to the ambiguity. We show that there are one-to-onerelations between the implied ambiguity, the Sharpe ratio, and the pricing errors when theportfolio is taken as the pricing portfolio, and that the measure of ambiguity perception isdetermined by the Sharpe ratio and the alpha. Based on the U.S. stock market data, weassess how ambiguity averse the representative investor is and what types of stocks theinvestor perceives as having more ambiguous returns than others