Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation
研究了三种信息不对称的交易者在市场均衡中的资产配置决策，发现有限参与现象，且信息多的交易者未必持有更多风险资产，信息少的交易者在风险厌恶的分散效应与相关性模糊的避险效应间权衡。
Abstract This paper investigates asset allocation decisions made by three types of traders depending upon incomplete information in market equilibrium. Limited participation phenomenon is observed in the equilibrium. Moreover, we show that traders with more information might not hold more risky assets than others who have less information. Less‐informed traders trade‐off between a diversification effect induced by risk‐averse attitude and a “flight‐to‐quality” effect by their aversion towards correlation ambiguity. In equilibrium, the magnitudes between equilibrium positions of different traders are affected by the true correlation coefficient, the upper‐bound correlation conceived by naive traders and the quality of risky assets simultaneously. In some scenarios, we observe that naive and uninformed traders “escape” from low‐quality assets to high‐quality ones.