1论文标题:AMBIGUITY, RISK AND PORTFOLIO CHOICE UNDER INCOMPLETE INFORMATION
作者:JIANJUN MIAO
内容简介:This paper studies optimal consumption and portfolio choice in a Merton-style
model with incomplete information when there is a distinction between ambiguity
and risk. The latter distinction is afforded by adoption of recursive multiple-priors
utility. The fundamental issues are: (i) How does the agent optimally estimate the
unobservable processes as new information arrives over time? (ii) What are the
effects of ambiguity and incomplete information on behavior? This paper shows
that it is optimal to first use any prior to perform Bayesian estimation and then to
maximize expected utility with that prior based on the resulting estimates. Finally,
the paper shows that a hedging demand arises that is affected by both ambiguity
and estimation risk.
Key words: ambiguity, recursive multiple-priors utility, incomplete information,
portfolio choice, hedging, estimation risk
2,论文标题:Risk, Ambiguity, and the Savage Axioms
作者:Daniel Ellsberg
内容简介:本文有关风险与不确定性的区别