标题： 参数不确定性下的投资组合决策中信息与理性的影响效应 显示英文标题

标题： Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

摘要： 我们分析并量化了在具有参数不确定性的金融市场中，对于常数相对风险厌恶投资者，两种不同的有限理性（即次优）投资策略（即短视策略和无条件策略）的效用影响，并将它们相互比较以及与完全信息的效用影响进行比较。 我们表明，这些影响主要由完全信息和可预测性引起，而学习的影响是次要的。 我们还研究了储蓄者是否应自行管理其投资组合（DIY投资者）或支付管理费聘请专业投资者，并发现委托主要源于一种信念，即专业顾问在不同的投资期限和风险厌恶水平下，要么信息更灵通（“内部人士”），要么在收集和处理信息方面更为擅长，而不是他们从金融数据中学习的能力。 特别是，对于非常短的投资期限，委托主要（如果不是唯一的话）源于认为专业投资者信息更灵通的信念。 显示英文摘要

摘要： We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic and unconditional strategies) and compare them between each other and with the utility effect of full information. We show that effects are mainly caused by full information and predictability, being the effect of learning marginal. We also investigate the saver's decision of whether to manage her/his portfolio personally (DIY investor) or hire, against the payment of a management fee, a professional investor and find that delegation is mainly motivated by the belief that professional advisors are, depending on investment horizon and risk aversion, either better informed ("insiders") or more capable of gathering and processing information rather than their ability of learning from financial data. In particular, for very short investment horizons, delegation is primarily, if not exclusively, motivated by the beliefs that professional investors are better informed.