Equilibrium Portfolio Selection for Smooth Ambiguity Preferences

• 成果类型: Article
• 署名作者: Guan, Guohui; Liang, Zongxia; Xia, Jianming
• 署名单位: Renmin University of China; Renmin University of China; Tsinghua University; Chinese Academy of Sciences
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.0112
• 发表日期: 2025
• 关键词: optimal investment; CHOICE; consumption

摘要

This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous -time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the Bayesian rule. A verification theorem is established, and an equilibrium strategy can be decomposed into a myopic demand and two hedging demands. When the prior is Gaussian, we provide an equilibrium solution in closed form. Moreover, a puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences.