The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model
研究了经典多期二项式市场模型中，投资者对概率测度存在模糊性时的动态投资组合选择问题，将问题转化为Choquet期望效用最大化，并给出了最优最终财富的显式刻画。
We consider dynamic portfolio selection under ambiguity in the classical multi-period binomial market model. Ambiguity is incorporated in the real-world probability measure through an epsilon-contamination, that gives rise to a completely monotone capacity conveying a pessimistic investor’s ambiguous beliefs. The dynamic portfolio selection problem is formulated as a Choquet expected utility maximization problem on the final wealth. Then, the optimal final wealth is proved to be a function of the final stock price: this allows a dimension reduction of the problem, switching from an exponential to a linear size with respect to the number of periods. Finally, an explicit characterization of the optimal final wealth is given in the case of a constant relative risk aversion utility function and the interaction between the ambiguity and the relative risk aversion parameters is investigated.