Revisiting the bond premium puzzle: a robustness approach
研究了利率风险不确定下的稳健动态投资问题，通过均衡模型校准数据，发现稳健投资者模型能解决债券溢价之谜，即无需不合理的高风险厌恶参数即可匹配市场数据。
We analyze a robust dynamic investment problem with ambiguous interest rate risk. After deriving the optimal terminal wealth and investment policy, we expand our framework into an equilibrium model, and calibrate it to data. We confirm the bond premium puzzle, i.e. in a non-robust version of our model an unreasonably high risk-aversion parameter is needed in order to match market data. Our proposed model with robust investors and a novel formulation of the representative agent provides a solution to this puzzle. As a technical contribution, which we consider to be of interest in its own right, we develop a novel formulation of robust dynamic investment problems, and we show that a robust CRRA agent exhibits features of an Uzawa-type agent with a stochastic subjective discount rate.