Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

• 成果类型: Article
• 署名作者: Maenhout, Pascal J.; Xing, Hao; Balter, Anne G.
• 署名单位: INSEAD Business School; Boston University; Tilburg University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70027
• 发表日期: 2026-06
• 关键词: long-run risk; asset prices; ROBUST-CONTROL; information quality; equity premium; uncertainty; consumption; returns; aversion; rules

摘要

We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk-averse investors (relative risk aversion ) fear return persistence, while risk-tolerant investors () fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID) returns. The intuition is that risk-averse investors, who want to hedge intertemporally, endogenously fear return persistence, which precludes hedging. A log investor is myopic and unaffected by model misspecification, therefore only worrying about model ambiguity. Our model can generate belief scarring, nonparticipation in equity markets, and extrapolative return expectations. Extending beyond IID returns, we study model misspecification for a mean-reverting Sharpe ratio.