Portfolio inertia under ambiguity

Arbeitspapier

We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker's beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with respect to the inner measure. Under the concept of ambiguity, it is considered that a o-algebra is not necessarily an appropriate collection of events to which a decision maker assigns probabilities. Furthermore, we study the difference between ambiguity and uncertainty by considering investors' behavior.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ISER Discussion Paper ; No. 609

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Portfolio Choice; Investment Decisions
• Subject: Ambiguity ; Knightian Uncertainty ; Portfolio Inertia ; Portfolio-Management ; Anlageverhalten ; Theorie ; Entscheidung bei Unsicherheit

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Asano, Takao
• Event: Veröffentlichung
• (who): Osaka University, Institute of Social and Economic Research (ISER)
• (where): Osaka
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/92672
• Last update: 10.03.2025, 11:44 AM CET