发帖
雷达卡
Robust consumption and portfolio choice for time varying investment opportunities ，Hening Liu 2010
Abstract ：This paper examines a continuous-time intertemporal consumption and
portfolio choice problem for an investor with recursive preferences. The investor
worries about model misspecification and seeks robust decision rules. The expected
excess return of a risky asset follows a mean-reverting process. I find that whether the
concern about model misspecification decreases the total demand for equities largely
depends on risk aversion and the attitude toward intertemporal substitution. When the
elasticity of intertemporal substitution is about 1 and risk aversion is moderate, the
aversion to model uncertainty increases the proportion of wealth invested in equities.
The calibration analysis based on detection-error probabilities shows that the quantitative
effect of robustness is almost negligible.
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