Arbeitspapier
Portfolio inertia and [epsilon]-contaminations
This paper analyzes investors' portfolio selection problems in a two-period dynamic model of Knightian uncertainty. We account for the existence of portfolio inertia in this two-period framework. Furthermore, by incorporating investors' up-dating behavior, we analyze how new observation in the first period will affect investors' behavior. By this analysis, we show that new observation in the first period will expand portfolio inertia in the second period compared with the case in which new observation has not been gained in the first period if the degree of Knightian uncertainty is sufficiently large.
- Sprache
-
Englisch
- Erschienen in
-
Series: ISER Discussion Paper ; No. 610
- Klassifikation
-
Wirtschaft
- Thema
-
Portfolio-Management
Anlageverhalten
Theorie
Entscheidung bei Unsicherheit
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asano, Takao
- Ereignis
-
Veröffentlichung
- (wer)
-
Osaka University, Institute of Social and Economic Research (ISER)
- (wo)
-
Osaka
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Asano, Takao
- Osaka University, Institute of Social and Economic Research (ISER)
Entstanden
- 2004
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