Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
构建了一个投资组合选择模型，融合凯恩斯主张集中投资熟悉资产与马科维茨主张分散化的观点，发现最优组合取决于资产间的相对模糊性和预期收益估计的标准差，为投资者理解熟悉性与多元化的权衡提供理论依据。
We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's “familiarity” toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and unfamiliar assets; moreover, an increase in correlation between assets causes an investor to increase concentration in familiar assets (flight to familiarity). Alternatively, if both quantities are high, then the optimal portfolio contains only the familiar asset(s), as Keynes would have advocated. In the extreme case in which both quantities are very high, no risky asset is held (nonparticipation). This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.