Jump Ambiguity and Tail Risk

摘要：

　　This paper solves the optimal portfolio choice problem in a multi-asset incomplete market model with ambiguous jump risks.We derive the optimal portfolio rules as well as the worst-case probability explicitly.Out of fear for extreme tail events in the worst case,an ambiguity-averse investor may hold only part or even none of the available risky assets.In a calibration exercise,we compare optimal portfolio outcomes between two models with jump sizes following a normal distribution and a tail distribution,respectively.In stark contrast to the negligible loss under rational expectation,sizable economic losses are incurred in the model with ambiguous tail risk when the investor ignores extreme tail events.

关键词： Ambiguity aversion Portfolio choice Nonparticipation Tail risk

作者: Xing Jin Dan Luo Xudong Zeng

作者单位: Warwick Business School,Coventry,CV4 7AL,UK School of Finance,Shanghai University of Finance and Economics,777 Guoding Road,Shanghai,200433,Chin Send correspondence to Xudong Zeng,School of Finance,Shanghai University of Finance and Economics,77

会议类型: 国内会议

会议名称: 2016《中国金融评论》国际研讨会

会议地点: 上海

会议语种:英文

页码: 495-536

在线出版日期: 2016-07-16（万方平台首次上网日期，不代表论文的发表时间）