Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
研究了风险厌恶投资者在模型不确定性下的最优投资与边际效用定价问题，量化了价值函数、最优投资策略和期权价格对模型不确定性的敏感度。
Abstract We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly the first‐order sensitivity of their value function, optimal investment policy and Davis' option prices to model uncertainty. To achieve this, we capture model uncertainty by replacing the baseline model with an adverse choice from a small Wasserstein ball around in the space of probability measures. Our sensitivities are thus fully non‐parametric. We show that the results entangle the baseline model specification and the agent's risk attitudes. The sensitivities can behave in a non‐monotone way as a function of the baseline model's Sharpe's ratio, the relative weighting of assets in the agent's portfolio can change and marginal prices can both increase or decrease when the agent faces model uncertainty.