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Delegated portfolio management under ambiguity aversion

✍ Scribed by Fabretti, Annalisa; Herzel, Stefano; Pınar, Mustafa Ç.


Book ID
121690388
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
635 KB
Volume
42
Category
Article
ISSN
0167-6377

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Portfolio inertia under ambiguity
✍ Takao Asano 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 165 KB

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