Learning about ambiguous long-term prospects

• 成果类型: Article
• 署名作者: Choi, Hongseok
• 署名单位: Sejong University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2026.106147
• 发表日期: 2026
• 关键词: portfolio selection; Estimation risk; aversion; CHOICE

摘要

This paper investigates whether ambiguity afflicting the long-run rate of growth fades away in a nonexchangeable environment (time-varying instantaneous expected growth rate). Two types of ambiguity are considered: static (multiple priors) and dynamic (multiple laws of motion). In the absence of dynamic ambiguity, likelihood-based learning resolves static ambiguity. In the presence of dynamic ambiguity, on the other hand, likelihood-based learning fails. In this case, static ambiguity fades away if the agent incorporates into the objective criteria (likelihood) her subjective criteria (penalty proportional to the Kullback-Leibler divergence). The model of learning is also applied to portfolio choice.