Index Investing and Asset Pricing Under Information Asymmetry and Ambiguity Aversion
研究了在可交易市值加权市场指数下，模糊厌恶投资者不交易且指数非均值方差有效，但被动基金提供风险调整市场组合（RAMP）时，投资者通过指数投资共享风险，最终实现与无模型不确定性经济相同的均衡组合。
Abstract In a setting with a tradable value-weighted market index, ambiguity-averse investors do not trade, and the index is not mean–variance efficient. But when a passive fund offers the risk-adjusted market portfolio ( RAMP ), whose weights depend on information precision as well as market values, investors share risk via index investing and effectively hold the same portfolios as in the economy without model uncertainty. This follows from a new Information Separation Theorem : equilibrium portfolios are the sum of RAMP , which is the optimal portfolio conditional on public information, and their optimal private-information-based portfolios. RAMP is in equilibrium mean–variance efficient.