Portfolio inertia under ambiguity

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

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 σ-algebra or even an 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.

Original languageEnglish
Pages (from-to)223-232
Number of pages10
JournalMathematical social sciences
Volume52
Issue number3
DOIs
Publication statusPublished - Dec 1 2006
Externally publishedYes

Keywords

  • Ambiguity
  • Knightian uncertainty
  • Portfolio inertia

ASJC Scopus subject areas

  • Sociology and Political Science
  • Social Sciences(all)
  • Psychology(all)
  • Statistics, Probability and Uncertainty

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