Robust risk-taking under a sustainable constraint |
| |
| Affiliation: | 1. Business School, University of Shanghai for Science and Technology, China;2. Institute for Advanced Studies in Finance and Economics, Hubei University of Economics, China;3. School of Economics, Sichuan University, China;4. School of Economics, Shanghai University of Finance and Economics, China |
| |
| Abstract: | 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. |
| |
| Keywords: | Ambiguity Risk-taking Sustainable constraint Welfare loss |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
