Life-Cycle Asset Allocation with Ambiguity Aversion and Learning
研究了模糊厌恶和对股票溢价的学习如何解释生命周期中股票配置比例低和参与率低的现象，发现模糊导致低分散化、本土偏好和低夏普比率。
Ambiguity and learning about the equity premium can simultaneously explain the low fraction of financial wealth allocated to stocks over the life cycle and the stock market participation puzzle. Individuals are ambiguous about the size of the equity premium and are averse to this ambiguity, resulting in lower stock allocations over the life cycle, consistent with the data. As agents get older, they learn about the equity premium and increase their allocation to stocks. Furthermore, I find that ambiguity leads to underdiversification, home bias, lower Sharpe ratios, and higher savings. Similar results cannot be obtained by assuming higher risk aversion.