广义递归光滑暧昧环境下动态资产配置和资产定价研究

本文采用一种广义递归光滑暧昧模型表示投资者在暧昧环境下的效用函数,该模型能将投资者风险厌恶、暧昧厌恶和跨期替代三者区分开.通过设定代表经济人的学习过程和信念更新机制,将这种效用模型应于基于消费的资产定价模型.当股利增长服从隐马尔可夫机制转换过程,经济人对隐状态存在暧昧性认知时,暧昧性和经济人暧昧厌恶偏好影响资产定价,以及经济人的最优消费计划和最优资产配置.研究结果表明,暧昧厌恶、暧昧环境中的学习和信念更新机制在解释资产定价之谜中起到了关键作用.暧昧厌恶经济人的悲观情绪扭曲其信念,这种信念随经济所处状态不同而发生变化,并对经济处于衰退时期的定价核给予了更高权重,以致于其投资策略更加保守.这种悲观行为有助于传播和放大对消费增长的冲击,并产生随时间而变动的资产溢价.

Dynamic asset allocation and asset pricing under generalized recursive smooth ambiguity model

In this paper we adopt a generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We specify the representative agent's learning process and state beliefs, and apply this utility model to a consumption-based asset pricing model. When the dividends follow hidden Markov regime-switching processes, and the representative agent has ambiguous beliefs about the hidden state, we derive the implication of ambiguity for asset pricing, the optimal consumption and portfolio selections. It is shown that ambiguity aversion, learning under ambiguity and belief updating play key roles in asset pricing. The pessimism of ambiguity averse agent distorts his belief by attaching more weight on the pricing kernel in bad times, so that his investment strategy is more conservative. This pessimistic behavior helps to spread and amplify the impact on consumption growth and generate equity premium that changes over time.