Portfolio inertia under ambiguity
β
Takao Asano
π
Article
π
2006
π
Elsevier Science
π
English
β 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