Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets

被引:7
作者
Obloj, Jan [1 ,2 ]
Wiesel, Johannes [3 ]
机构
[1] Univ Oxford, Math Inst, Oxford, England
[2] Univ Oxford, St Johns Coll, Oxford, England
[3] Columbia Univ, Dept Stat, 1255 Amsterdam Ave, New York, NY 10027 USA
关键词
distributionally robust optimization; Davis marginal utility price; model uncertainty; optimal investment; robust finance; sensitivity analysis; Wasserstein distance; MODEL UNCERTAINTY; SENSITIVITY-ANALYSIS; AMBIGUITY AVERSION; OPTIMAL INVESTMENT; EXPECTED UTILITY; RISK MEASURES; OPTIMIZATION; DUALITY; MISSPECIFICATION; ARBITRAGE;
D O I
10.1111/mafi.12337
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their value function, optimal investment policy and Davis' option prices to model uncertainty. To achieve this, we capture model uncertainty by replacing the baseline model P with an adverse choice from a small Wasserstein ball around P in the space of probability measures. Our sensitivities are thus fully non-parametric. We show that the results entangle the baseline model specification and the agent's risk attitudes. The sensitivities can behave in a non-monotone way as a function of the baseline model's Sharpe's ratio, the relative weighting of assets in the agent's portfolio can change and marginal prices can both increase or decrease when the agent faces model uncertainty.
引用
收藏
页码:1454 / 1493
页数:40
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