英文标题：
《Welfare effects of information and rationality in portfolio decisions
under parameter uncertainty》
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作者：
Michele Longo and Alessandra Mainini
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最新提交年份：
2017
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英文摘要：
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic and unconditional strategies) and compare them between each other and with the utility effect of full information. We show that effects are mainly caused by full information and predictability, being the effect of learning marginal. We also investigate the saver\'s decision of whether to manage her/his portfolio personally (DIY investor) or hire, against the payment of a management fee, a professional investor and find that delegation is mainly motivated by the belief that professional advisors are, depending on investment horizon and risk aversion, either better informed (\"insiders\") or more capable of gathering and processing information rather than their ability of learning from financial data. In particular, for very short investment horizons, delegation is primarily, if not exclusively, motivated by the beliefs that professional investors are better informed.
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中文摘要：
我们分析并量化了在具有参数不确定性的金融市场中，对于相对风险厌恶程度恒定的投资者，两种不同的有界理性（即次优）投资策略（即短视策略和无条件策略）的效用效应，并将其相互比较，以及与完全信息的效用效应进行比较。我们发现，这种影响主要是由充分信息和可预测性引起的，是学习的边际效应。我们还调查了储蓄者是否决定亲自管理自己的投资组合（DIY投资者）或在支付管理费的情况下雇佣专业投资者，并发现委托主要是出于以下信念：专业顾问取决于投资期限和风险规避，要么信息更灵通（“内部人士”），要么更能收集和处理信息，而不是从财务数据中学习。特别是，对于非常短的投资期限，授权主要（如果不是唯一）是出于专业投资者更了解情况的信念。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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