Tail Risk and Robust Portfolio Decisions
研究了多资产不完全市场中存在模糊跳跃和任意尾部假设时的投资组合选择问题，发现尾部风险恐惧会降低分散化，且跳跃模糊性导致显著的投资组合调整和财富损失。
This paper formulates a portfolio choice problem in a multiasset incomplete market characterized by ambiguous jumps and arbitrary tail assumptions. We derive the optimal portfolio in closed form through a decomposition approach. We show that, due to fear of tail incidents, an investor diminishes portfolio diversification, and even more so under heavy-tailed jumps that intensify misspecification concerns. We then implement our model in international equity markets to quantify the impact of tail risk on portfolio selection, through comparisons between a normal and a slowly decaying jump size distribution. We find that, without jump ambiguity, constant relative risk aversion (CRRA) investors increase their jump exposures merely slightly and suffer negligible wealth losses from underestimating tail risk, given that the first two moments of the jump size distributions are preserved regardless of the tail properties. In stark contrast, sizable portfolio rebalancing and subsequent wealth losses are encountered in the presence of jump ambiguity. This paper was accepted by David Simchi-Levi, finance.