首都金融论坛第57期：Limited Participation and Asset Allocation under Ambiguity of Correlation
This paper investigates the implication of correlation ambiguity and limited participation under market equilibrium. In our model with inside, sophisticated, and naive investors, individual decision making incorporates both risk and ambiguity. Ambiguous investors trade in the same direction as inside investors, while, naive investors trade in the same direction as sophisticated investors. We demonstrate that limited participation arises from the rational decision by ambiguous investors to avoid ambiguity. The investors with more information must not hold more asset allocation. Changes in the ambiguity level for ambiguous investors and the fraction of three types of investors can alter equilibrium types and affect equilibrium prices.