Ambiguity Aversion and Underdiversification
研究了在平滑模糊厌恶下，投资者对国内资本资产定价模型有先验信念时的资产配置决策，发现模糊厌恶会导致美国投资者产生强烈的本土偏好，且结果在体制转换下更强。
We examine asset allocation decisions under smooth ambiguity aversion when an investor has a prior degree of belief in the domestic capital asset pricing model (CAPM). Different from a Bayesian approach, the investor separately relies on the conditional distribution of returns and on the posterior over parameters to make decisions, rather than on the predictive distribution of returns that integrates priors and likelihood information. We find that in the perspective of U.S. investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion. Results become stronger under regime-switching investment opportunities.