Purpose

The study aims to show that ambiguity aversion exerts a non-negligible effect on the investors' decisions, especially due to the possibility of sharp declines in stock prices.

Design/methodology/approach

The vast majority of previous studies on life-cycle consumption and asset allocation assume that the equity premium is constant. This study evaluates the impact of rare disasters that shift the stock market to a low return state on investors' consumption and portfolio decisions. The author assumes that investors are averse to ambiguity relative to the current state of the economy and must incur a per period cost to participate in the stock market and solve their optimal consumption and asset allocation problem using dynamic programming.

Findings

The results show that most young investors choose not to invest in stocks because they have low accumulated wealth and the potential return from their stock market investments would not cover the participation costs. Furthermore, ambiguity-averse investors hold considerably fewer stocks throughout their lifetime than ambiguity-neutral ones. The fraction of wealth invested in stocks over the typical consumer's life is hump-shaped: it is low for a young individual, peaks at his early 30s and then decreases until his retirement age.

Originality/value

To the best of the author’s knowledge, this is the first study that assesses the impact of negative stock price jumps on the optimal portfolio of an ambiguity-averse investor.

中文翻译：

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生命周期资产配置和比索问题：模糊规避重要吗？

目的

该研究旨在表明，歧义厌恶对投资者的决策产生了不可忽视的影响，尤其是在股价可能大幅下跌的情况下。

设计/方法/途径

以往关于生命周期消费和资产配置的绝大多数研究都假设股权溢价是恒定的。本研究评估了将股票市场转变为低回报状态的罕见灾难对投资者消费和投资组合决策的影响。作者假设投资者反对相对于当前经济状况的模糊性，并且必须承担每期成本才能参与股票市场并使用动态规划解决他们的最优消费和资产配置问题。

发现

结果显示，大多数年轻投资者选择不投资股票，因为他们积累的财富较少，而且他们的股票市场投资的潜在回报无法弥补参与成本。此外，与模糊中性投资者相比，模糊厌恶投资者在其一生中持有的股票要少得多。在典型消费者的一生中，投资于股票的财富比例呈驼峰形：年轻人的比例很低，在 30 岁出头时达到顶峰，然后一直下降到退休年龄。

原创性/价值

据作者所知，这是第一项评估负面股价上涨对模糊厌恶投资者最佳投资组合影响的研究。