期刊
JOURNAL OF BANKING & FINANCE
卷 37, 期 12, 页码 5036-5047出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2013.08.023
关键词
Ambiguity; Jump-diffusion model; Robust control; Utility loss; Market completeness
We analyze the portfolio planning problem of an ambiguity averse investor. The stock follows a jump-diffusion process. We find that there are pronounced differences between ambiguity aversion with respect to diffusion risk and jump risk. Ignoring ambiguity with respect to jump risk causes larger losses in an incomplete market, whereas ignoring ambiguity with respect to diffusion risk is more severe in a complete market. For a deterministic jump size we show that the loss from market incompleteness is always increasing in the level of ambiguity aversion with respect to one risk factor and decreasing in the level of ambiguity aversion with respect to the other risk factor. (C) 2013 Elsevier B.V. All rights reserved.
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