Portfolio choices: comparative statics under both expected return and volatility uncertainty
研究了投资者同时面临预期收益和波动率模糊性时的最优投资组合选择比较静态，分析了风险偏好和模糊性对风险资产持有量的影响。
This paper studies the comparative statics of an optimal portfolio choice problem for an investor with both expected return and volatility ambiguity about the financial market. The optimal holding of the risky asset depends on risk preference, expected return and volatility ambiguity, yielding a general comparative statistics analysis for all investors with linearly growing absolute risk tolerance.