题 目：Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
报 告 人：周超 (邀请人： 杨舟)
时 间：2018-09-29 16:30--17:30
This talk is concerned with multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected rate of return and correlation matrix of stocks, and for studying the effects on portfolio diversification. We prove a separation principle for the associated robust control problem formulated as a mean-field type differential game, which allows to reduce the determination of the optimal dynamic strategy to the
parametric computation of the minimal risk premium function. Our results provide a justification for under-diversification, as documented in empirical studies, and that we explicitly quantify in terms of correlation and Sharpe ratio ambiguity parameters. In particular, we show that an investor with a poor confidence in the expected return estimation does not hold any risky asset, and on the other hand, trades only one risky assett, when the level of ambiguity is large.