Portfolio choices: comparative statics under both expected return and volatility uncertainty. Issue 6 (3rd June 2021)

• Record Type: Journal Article
• Authors: Lin, Qian; Tian, Dejian
• Is Part Of: Quantitative finance. Volume 21:Issue 6(2021)
• Page Start: 1027
• Page End: 1035
• Publication Date: 2021-06-03
• Subjects: Ambiguity aversion -- Risk Aversion -- Knightian uncertainty -- Comparative statics -- Robust portfolio choice -- Volatility uncertainty; D81 -- G11; Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2020.1849781
• Languages: English
• ISSNs: 1469-7688

Abstract

Abstract : This paper studies the comparative statics of an optimal portfolio choice problem for an investor with both expected return and volatility ambiguity about the financial market. The optimal holding of the risky asset depends on risk preference, expected return and volatility ambiguity, yielding a general comparative statistics analysis for all investors with linearly growing absolute risk tolerance.