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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ISER Discussion Paper ; No. 609

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Asano, Takao
• Ereignis: Veröffentlichung
• (wer): Osaka University, Institute of Social and Economic Research (ISER)
• (wo): Osaka
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/92672
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ