Volatility Trading: What Is the Role of the Long-Run Volatility Component?
研究了在可交易波动率遵循双因子随机波动模型下，具有递归效用的投资者的资产配置问题，发现跨期替代弹性对投资决策有重要影响，且模型误设会导致显著经济损失。
Abstract We study an investor’s asset allocation problem with a recursive utility and with tradable volatility that follows a 2-factor stochastic volatility model. Consistent with previous findings under the additive utility, we show that the investor can benefit substantially from volatility trading due to hedging demand. Unlike existing studies, we find that the impact of elasticity of intertemporal substitution (EIS) on investment decisions is of 1st-order importance. Moreover, the investor can incur significant economic losses due to model and/or parameter misspecifications where the EIS better captures the investor’s attitude toward risk than the risk aversion parameter.