关键词: 期望效用, 参数不确定性, 信息更新, 动态资产组合

Abstract: This paper studies the effects of parametric uncertainty of the first two moments about risky asset return on the choice of dynamic portfolio under incomplete information.In the continuous-time framework,it analyzes them qualitatively according to the closed-form solution of the optimal portfolio choice.Then in the discrete-time framework,gives their quantitative results according to the empirical study form two different sample of Shanghai Exchange Composite Index.Result shows:the uncertainty of parameter leads to negative (positive) investment horizon effects when investor's risk aversion is more (less) than that of logarithmic investor;the effects of parametric uncertainty will weaken when investor uses more past data in his estimation,or when his risk aversion increases;portfolio selection under parametric uncertainty can explain the puzzle of risk premium.This study demonstrates that the problem of parametric uncertainty should be taken into account in the context of dynamic portfolio choice.

Key words: expected utility, parametric uncertainty, information update, dynamic portfolio