本篇欲從極小化期望損失的角度，探討本國偏誤 (Home Bias) 的情況。當投資人擔心錯估參數、模型、資料正確性、經濟動盪不安等等，投資人害怕所持有的資產因模型不確定性 (Model Uncertainty) 而價值減損。本文遵循 Andersen et al. (1999)、Hansen et al. (1999) 與 Maenhout (1999) 等文獻，採穩健控制模型，在模型中加入約束條件以考量模型不確定性，透過哈密頓-雅可比-貝爾曼方程 (HJB equation, Hamilton-Jacobi-Bellman equation) 求解。探討在最糟的情況下，如何配適最適權重至各國市場上使得期望損失達到最小，並延伸 Uppal and Wang (2003) 多維模糊程度資訊來源的概念，在模型中加入反映全面模糊程度的單一參數和反映邊際模糊程度的矩陣。

This paper means to discuss home bias phenomenon through minimizing expected loss level perspective. As investors concern about model uncertainty, they are afraid of unexpected value depreciation of holding assets due to model uncertainty. In this way, we formulate an expected loss model incorporated with model uncertainty concerns. We follow Andersen et al. (1999), Hansen et al. (1999) and Maenhout (1999) to construct a robust control model with constraint conditions. We solve the optimal ratios to allocate asset into different countries through Hamilton-Jacobi-Bellman equation. Furthermore, we extend concept of multiple resources of model uncertainty in Uppal and Wang (2003). Not only incorporate we a parameter that represents all level of ambiguity into objective function but also we add a matrix that reflects different levels of marginal ambiguity.

第一章 緒論 1
第一節、 研究動機 1
第二節、 文獻探討 1
第二章 採HJB方程法穩健控制模型回顧 4
第一節、 採HJB方程法穩健控制模型分類 4
第二節、 Uppal and Wang 不同模糊程度穩健控制模型 6
第三章 基本模型假設 8
第一節、 單一模型不確定性來源期望損失穩健控制模型 8
第二節、 多維模型不確定性來源期望損失穩健控制模型 13
第四章 結果分析 18
第一節、 實質選擇權模型 18
第二節、 單一模型不確定性來源的最適配置解模擬分析 19
第三節、 多維模型不確定性來源下解釋本國偏誤現象 20
第五章 結論及可延伸方向 23
附錄一　以HJB方程法求算最適解 32
附錄二　考量模型不確定性下期望損失的實質選擇權型態 36
參考文獻 41

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