報告題目：Optimal Portfolios with Risky and Ambiguous Assets

報告所屬學科：應用經濟學

報告人：Kit Pong WONG（香港大學）

報告時間：2020年10月25日 19:00

報告地點：Zoom ID: 962 3915 0454

報告摘要：

We examine a two-asset portfolio choice problem wherein an individual with smooth ambiguity preferences has to allocate his unit wealth into one risky and one ambiguous asset that have correlated returns. We derive necessary and sufficient conditions under which the ambiguity-averse individual’s optimal investment in the ambiguous asset exceeds a given threshold, which give rise to the minimum demand condition for the ambiguous asset. We further derive sufficient conditions under which ambiguity aversion adversely affects the ambiguity-averse individual’s optimal investment in the ambiguous asset at both the extensive and intensive margins. We show that these results reconcile the empirical findings that ambiguity aversion can explain five household portfolio choice puzzles: (i) non-participation in stock markets, (ii) low portfolio fractions allocated to stocks, (iii) home-bias, (iv) own-company stock ownership, and (v) portfolio under-diversification.

報告人簡介：

Kit Pong Wong is a Professor in Department of Finance, the University of Hong Kong. His research is mainly theoretical and can be divided into three areas: corporate finance, risk management, and real options. His works are published in Management Science, Review of Finance, Journal of Economic Dynamics and Control, Annals of Finance, Journal of Mathematical Economics, Journal of Futures Markets, Insurance: Mathematics and Economics, International Review of Economics & Finance etc.