TY - JOUR
T1 - Portfolio inertia under ambiguity
AU - Asano, Takao
N1 - Funding Information:
First, I am grateful to an anonymous referee whose detailed comments and suggestions have improved the exposition substantially. I thank Hiroyuki Ozaki for his encouragement as well as his discussions and comments on this work. I am grateful to participants at Keio University, Tokyo Institute of Technology, University of Tokyo, and Yokohama National University, and the conference on “Knightian Uncertainty” held at University of Tokyo as well as Hiroyuki Kojima, Motonari Kurasawa, Daisuke Oyama, and Satoru Takahashi. Finally, I am greatly indebted to Akihiko Matsui, who patiently read through earlier versions of the present paper, encouraged me through uncountable many meetings, and gave me invaluable comments and suggestions. Financial support from the 21st century COE program (Osaka University), the Japan Securities Scholarship Foundation, Nomura Foundation for Social Science, and Research Fellowships of the Japan Society for the Promotion of Science for Young Scientists is gratefully acknowledged. Needless to say, I am responsible for any remaining errors. Appendix A
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
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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 -