标题： HARA投资者的学习与投资组合决策 显示英文标题

标题： Learning and Portfolio Decisions for HARA Investors

摘要： 我们最大化当风险价格为不可观测随机变量时，HARA投资者的终端财富期望效用。 我们显式计算最优投资组合，并通过与相应的短视策略进行比较来探讨学习的影响。 特别是，我们证明了对于符号恒定的风险价格，部分观测下的投资组合与其短视对应值之间的比率随着风险容忍度的增加而增加。 因此，如果投资者比对数投资者更具（更不）风险容忍度，部分观测情况下的绝对值大于（小于）短视情况下的绝对值。 此外，我们的显式计算使我们能够详细研究由关于风险价格的学习引起的所谓对冲需求。 显示英文摘要

摘要： We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it with the corresponding myopic policy. In particular, we show that, for a market price of risk constant in sign, the ratio between the portfolio under partial observation and its myopic counterpart increases with respect to risk tolerance. As a consequence, the absolute value of the partial observation case is larger (smaller) than the myopic one if the investor is more (less) risk tolerant than the logarithmic investor. Moreover, our explicit computations enable to study in details the so called hedging demand induced by learning about market price of risk.