Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92672
Authors: 
Asano, Takao
Year of Publication: 
2004
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 609
Abstract: 
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 o-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.
Subjects: 
Ambiguity
Knightian Uncertainty
Portfolio Inertia
JEL: 
D81
G11
Document Type: 
Working Paper

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