英文标题：
《The Robust Merton Problem of an Ambiguity Averse Investor》
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作者：
Sara Biagini and Mustafa Pinar
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最新提交年份：
2015
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英文摘要：
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets for the drift, given a volatility realization. This specification affords a simple and concise analysis, as the optimal portfolio allocation policy is shaped by a rescaled market Sharpe ratio, computed under the worst case volatility. The result is based on a max-min Hamilton-Jacobi-Bellman-Isaacs PDE, which extends the classical Merton problem and reverts to it for an ambiguity-neutral investor.
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中文摘要：
我们推导了一个封闭形式的投资组合优化规则，适用于对平均收益率和波动率估计缺乏信心且具有CRRA效用的投资者。新颖之处在于，在给定波动性实现的情况下，置信度在这里用漂移的椭球不确定性集表示。本规范提供了一个简单而简洁的分析，因为最优投资组合分配政策由在最坏情况下波动率下计算的重新调整的市场夏普比率决定。该结果基于一个极大极小的Hamilton-Jacobi-Bellman-Isaacs偏微分方程，该偏微分方程扩展了经典的Merton问题，并针对一个模糊中立的投资者回归到该问题。
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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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