英文标题：
《Time--consistent investment under model uncertainty: the robust forward
criteria》
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作者：
Sigrid Kallblad, Jan Obloj and Thaleia Zariphopoulou
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最新提交年份：
2014
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英文摘要：
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of time-consistent ambiguity averse preferences. We first focus on establishing dual characterizations of the robust forward criteria. This offers various advantages as the dual problem amounts to a search for an infimum whereas the primal problem features a saddle-point. Our approach is based on ideas developed in Schied (2007) and Zitkovic (2009). We then study in detail non-volatile criteria. In particular, we solve explicitly the example of an investor who starts with a logarithmic utility and applies a quadratic penalty function. The investor builds a dynamical estimate of the market price of risk $\\hat \\lambda$ and updates her stochastic utility in accordance with the so-perceived elapsed market opportunities. We show that this leads to a time-consistent optimal investment policy given by a fractional Kelly strategy associated with $\\hat \\lambda$. The leverage is proportional to the investor\'s confidence in her estimate $\\hat \\lambda$.
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中文摘要：
我们将远期投资绩效过程与模糊规避投资组合选择相结合。我们引入了稳健远期标准的概念，它解决了模型规范、偏好和投资期限规范中的模糊性问题。它描述了时间一致性歧义厌恶偏好的演变。我们首先关注于建立鲁棒正向准则的对偶刻画。这提供了多种优势，因为对偶问题相当于搜索下确界，而原始问题具有鞍点。我们的方法基于Schied（2007）和Zitkovic（2009）提出的想法。然后我们详细研究了非挥发性标准。特别是，我们明确地解决了一个投资者的例子，他从对数效用开始，应用二次惩罚函数。投资者对风险$\\hat\\lambda$的市场价格进行动态估计，并根据所感知的市场机会更新其随机效用。我们证明了这导致了由与$\\hat\\lambda$相关的分数Kelly策略给出的时间一致的最优投资策略。杠杆率与投资者对其估值$\\hat\\lambda$的信心成正比。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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