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模型不确定性条件下稳健投资行为与资产定价 被引量：2

Robust portfolio selection and asset pricing under model uncertainty
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摘要 不确定性在很早以前就引起了经济学界的重视.本文通过一个异质偏好下的世代交叠模型,研究了模型不确定性偏好对资产定价的影响.结果发现,均衡时的资产价格与模型不确定性偏好成反比,并且随市场上稳健投资者数量的增加而降低.另外,本文的结论能够解释股票溢价之谜. The importance of uncertainty has long been recognized in economics. Using an overlapping generation model with heterogeneous investors in preference, this paper studies the impacts of model uncertainty on asset pricing. The results show that model uncertainty aversion lowers the equilibrium price of risk asset that is inversely proportional to the aversion degree, and increasing the number of robust investors also lowers the equilibrium price. In addition, the paper sheds light on the equity premium puzzle.
作者 高金窑 李仲飞
机构地区 山东大学经济学院 中山大学岭南学院
出处 《系统工程学报》 CSCD 北大核心 2009年第5期546-552,共7页 Journal of Systems Engineering
基金 国家杰出青年科学基金资助项目(70825002) 国家自然科学基金资助项目(70518001) 教育部人文社会科学研究规划基金资助项目(07JA630031)
关键词 模型不确定性 稳健投资策略 资产定价 model uncertainty robust portfolio selection asset pricing
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献15

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二级参考文献39

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共引文献11

同被引文献15

  • 1李雪,韩立岩,周娟.Knight不确定性环境下资产定价的均衡数值试验研究[J].首都经济贸易大学学报,2008,10(1):115-122. 被引量：4
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  • 10王元英,叶中行.不确定市场条件下的稳健最优投资组合[J].运筹学学报,2007,11(4):102-108. 被引量：4

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系统工程学报
2009年 第5期

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