AMBIGUITY AND PORTFOLIO INERTIA
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Recommendations
- Portfolio inertia under ambiguity
- Ellsberg's two-color experiment, portfolio inertia and ambiguity.
- Portfolio concentration, portfolio inertia, and ambiguous correlation
- Portfolio inertia and epsilon-contaminations
- Portfolio choices: comparative statics under both expected return and volatility uncertainty
Cites work
- A Definition of Uncertainty Aversion
- A More Robust Definition of Subjective Probability
- Efficient and Durable Decision Rules with Incomplete Information
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Information, trade and common knowledge
- On the Possibility of Speculation under Rational Expectations
- On the use of capacities in modeling uncertainty aversion and risk aversion
- Sharing Beliefs: Between Agreeing and Disagreeing
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
Cited in
(10)- Ellsberg's two-color experiment, portfolio inertia and ambiguity.
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Portfolio concentration, portfolio inertia, and ambiguous correlation
- Horizon-unbiased investment with ambiguity
- Portfolio inertia and epsilon-contaminations
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Heterogeneity and portfolio choice
- Uncertainty aversion and portfolio inertia
- Cash holdings, ambiguity aversion, and investment puzzles
- Portfolio inertia under ambiguity
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