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 language | English |
|---|---|
| Pages (from-to) | 223-232 |
| Number of pages | 10 |
| Journal | Mathematical Social Sciences |
| Volume | 52 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Dec 2006 |
| Externally published | Yes |
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Keywords
- Ambiguity
- Knightian uncertainty
- Portfolio inertia
ASJC Scopus subject areas
- Statistics, Probability and Uncertainty
- Economics and Econometrics
Cite this
Portfolio inertia under ambiguity. / Asano, Takao.
In: Mathematical Social Sciences, Vol. 52, No. 3, 12.2006, p. 223-232.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Portfolio inertia under ambiguity
AU - Asano, Takao
PY - 2006/12
Y1 - 2006/12
N2 - 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.
AB - 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.
KW - Ambiguity
KW - Knightian uncertainty
KW - Portfolio inertia
UR - http://www.scopus.com/inward/record.url?scp=33750526471&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33750526471&partnerID=8YFLogxK
U2 - 10.1016/j.mathsocsci.2006.07.003
DO - 10.1016/j.mathsocsci.2006.07.003
M3 - Article
AN - SCOPUS:33750526471
VL - 52
SP - 223
EP - 232
JO - Mathematical Social Sciences
JF - Mathematical Social Sciences
SN - 0165-4896
IS - 3
ER -