Robust Portfolio Rules and Asset Pricing
提出一种新方法，处理投资者在担忧模型不确定性时的动态投资组合与消费问题。稳健投资者会针对内生最坏情况投保，结果大幅降低股票需求，并提高均衡股权溢价、降低无风险利率。
I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen, and Sargent (2002). In accordance with max-min expected utility, a robust investor insures against some endogenous worst case. I first show that robustness dramatically decreases the demand for equities and is observationally equivalent to recursive preferences when removing wealth effects. Unlike standard recursive preferences, however, robustness leads to environment-specific "effective" risk aversion. As an extension, I present a closed-form solution for the portfolio problem of a robust Duffie-Epstein-Zin investor. Finally, robustness increases the equilibrium equity premium and lowers the risk-free rate. Reasonable parameters generate a 4% to 6% equity premium. Copyright 2004, Oxford University Press.