Risk, Ambiguity, and the Value of Diversification
研究了风险厌恶和模糊性厌恶对分散化价值的不同影响，发现风险厌恶会提升分散化价值，但模糊性厌恶可能降低它，对投资决策有重要启示。
Diversification is a basic economic principle that helps to hedge against uncertainty. It is, therefore, intuitive that both risk aversion and ambiguity aversion should positively affect the value of diversification. In this paper, we show that this intuition (1) is true for risk aversion but (2) is not necessarily true for ambiguity aversion. We derive sufficient conditions, showing that, contrary to the economic intuition, ambiguity and ambiguity aversion may actually reduce the diversification value. This paper was accepted by Manel Baucells, decision analysis.