We generalize the optimal investment model of an ambiguity averse investor with transaction costs. Along the lines of Maenhout (2004), we first show that ambiguity (or model uncertainty) leads to an increase in effective risk aversion by ambiguity aversion even with transaction costs. We compute the utility cost associated with suboptimal investment decisions, which is the so-called ambiguity premium. We then find that ignoring ambiguity aversion with and without transaction costs generates large ambiguity premia when ambiguity aversion is moderate, and the cost of ignoring it becomes larger with higher ambiguity aversion. This would, thus, still support the importance of ambiguity aversion channel for portfolio choice, even concerning the friction markets.

我们概括了具有交易成本的模糊厌恶投资者的最优投资模型。沿着 Maenhout (2004) 的思路，我们首先表明，即使有交易成本，模糊性（或模型不确定性）也会通过模糊性厌恶导致有效风险厌恶的增加。我们计算与次优投资决策相关的效用成本，即所谓的模糊溢价。然后我们发现，当歧义厌恶程度适中时，无论有无交易成本，忽略歧义厌恶都会产生较大的歧义溢价，而随着歧义厌恶程度的增加，忽略歧义厌恶的成本会变大。因此，这仍将支持模糊规避渠道对投资组合选择的重要性，即使是在摩擦市场方面。