Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion
研究了预测性对模糊厌恶长期投资者最优资产配置的影响，分析了考虑参数不确定性的多变量风险收益期限结构，发现长期最优配置受估计误差导致的协方差结构显著影响。
We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk–return trade-off considering parameter uncertainty. We calibrate the model to real returns of U.S. stocks, long-term bonds, cash, real estate, and gold using the term spread and the dividend–price ratio as additional predictive variables, and we show that over long horizons, the optimal asset allocation is significantly influenced by the covariance structure induced by estimation errors. The ambiguity-averse long-term investor optimally tilts his or her portfolio toward a seemingly inefficient portfolio, which shows maximum robustness against estimation errors.