Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
给出了模糊厌恶投资者在股票和衍生品市场中的最优多元跨期投资组合闭式解，发现模糊厌恶显著影响股票和协方差风险暴露，忽视模型不确定性会导致巨大福利损失。
This paper provides the optimal multivariate intertemporal portfolio for an ambiguity averse investor, who has access to stocks and derivative markets, in closed form. The stock prices follow stochastic covariance processes and the investor can have different levels of uncertainty about the diffusion parts of the stocks and the covariance structure. We find strong evidence that the optimal exposures to stock and covariance risks are significantly affected by ambiguity aversion. Welfare analyses show that investors who ignore model uncertainty incur large losses, larger than those suffered under the embedded one-dimensional cases. We further confirm large welfare losses from not trading in derivatives as well as ignoring intertemporal hedging, we study the impact of ambiguity in that regard and justify the importance of including these factors in the scope of portfolio optimization. Conditions are provided for a well-behaved solution in general, together with verification theorems for the incomplete market case.