Robust risk-taking under a sustainable constraint

作者：Xu, Jiawen; Luo, Deqing; Yan, Jingzhou^*; Wu, Xiaoping

来源：Operations Research Letters, 2022, 50(3): 246-253.

DOI：10.1016/j.orl.2022.02.004

• Ambiguity
• Risk-taking
• Sustainable constraint
• Welfare loss

We consider a model in which the representative investor makes optimal portfolio and consumption choices robust to ambiguity with a sustainable constraint. We find that the influences of ambiguity on risk-taking are two ways. Those are gambling when the risk-free interest rate is less than a critical value, but derisk when the risk-free interest rate is greater than the critical value. Moreover, the erosion of ambiguity on consumption is more substantial in constrained cases, and ambiguity will magnify welfare losses.

• 单位
  1; 四川大学