A Mean‐Preserving Increase in Ambiguity and Portfolio Choices
研究了在平滑模糊厌恶模型和最大最小模型下，模糊性增加如何影响投资者对不确定资产的需求，发现其比较静态与风险情形有结构相似性，但存在根本差异。
Abstract This article investigates under what conditions an increase in ambiguity reduces demand for an uncertain asset (or raises demand for coinsurance). We find that the comparative statics of ambiguity and of risks have structural similarities under the smooth ambiguity aversion model (Klibanoff, Marinacci, and Mukerji, ( )). The determinant condition on ambiguity preferences is analogous to that on risk preferences. However, the comparative statics have fundamental differences under the ‐maxmin model (Ghirardato, Maccheroni, and Marinacci, ( )). When relative risk aversion is less than 1, only an increase in ambiguity, which broadens support for an investor's belief in the probability of the return distribution in the manner of a strong increase in risk, can reduce demand for an uncertain asset.