Model Misspecification and Underdiversification
研究投资者在考虑模型误设时的跨期投资组合选择，发现当整体收益联合分布的不确定性高时，边际分布不确定性的微小差异会导致投资组合显著分散不足。
Abstract In this paper, we study intertemporal portfolio choice when an investor accounts explicitly for model misspecification. We develop a framework that allows for ambiguity about not just the joint distribution of returns for all stocks in the portfolio, but also for different levels of ambiguity for the marginal distribution of returns for any subset of these stocks. We find that when the overall ambiguity about the joint distribution of returns is high, then small differences in ambiguity for the marginal return distribution will result in a portfolio that is significantly underdiversified relative to the standard mean‐variance portfolio.