Uncertainty aversion and portfolio inertia

DOI10.1111/J.1467-8586.2010.00366.XzbMATH Open1254.91760OpenAlexW1984171892MaRDI QIDQ4899998FDOQ4899998

Authors: T. Asano 

Publication date: 10 January 2013

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-8586.2010.00366.x

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zbMATH Keywords

uncertaintyportfolio inertiaepsilon-contaminations

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Maxmin expected utility with non-unique prior
• Risk, ambiguity and the Savage axioms
• Title not available (Why is that?)
• Subjective Probability and Expected Utility without Additivity
• Characterizing optimism amd pessimism directly through comonotonicity
• Risk Aversion in the Small and in the Large
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• On the use of capacities in modeling uncertainty aversion and risk aversion
• A two-person dynamic equilibrium under ambiguity
• Sealed bid auctions with ambiguity: theory and experiments
• An axiomatic approach to \(\varepsilon\)-contamination
• A Definition of Uncertainty Aversion
• Search and Knightian uncertainty
• Dynamic programming for non-additive stochastic objectives
• Portfolio inertia under ambiguity
• Portfolio inertia and epsilon-contaminations

Cited In (10)

• Investment behavior under ambiguity: the case of pessimistic decision makers
• Welfare implications of mitigating investment uncertainty
• Uncertainty and Investment Dynamics
• Uncertain dynamics, correlation effects, and robust investment decisions
• Cash holdings, ambiguity aversion, and investment puzzles
• An exploration of the effects of pessimism and doubt on asset returns.
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Portfolio inertia and epsilon-contaminations
• Portfolio concentration, portfolio inertia, and ambiguous correlation
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty

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