Portfolio Inertia Under Ambiguity

23 Pages Posted: 8 Jul 2004

See all articles by Takao Asano

Takao Asano

Okayama University - Economics; Osaka University - Institute of Social and Economic Research (ISER)

Date Written: June 2004


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 sigma-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.

Keywords: Ambiguity, knightian uncertainty, portfolio inertia

JEL Classification: D81, G11

Suggested Citation

Asano, Takao, Portfolio Inertia Under Ambiguity (June 2004). Available at SSRN: https://ssrn.com/abstract=562561 or http://dx.doi.org/10.2139/ssrn.562561

Takao Asano (Contact Author)

Okayama University - Economics ( email )

Tsushima-naka 3-1-1
Okayama, Okayama 7008530

Osaka University - Institute of Social and Economic Research (ISER) ( email )

6-1 Mihogaoka
Ibaraki, Osaka 567-0047

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