选择理论方面的两篇文章

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

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

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Unobservable information Fundamental consumption Informatio 理论 选择

Ambiguity is a hot topic, thanks a lot~