Portfolio Inertia Under Ambiguity
Portfolio Inertia Under Ambiguity
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DOI：
10.2139/ssrn.562561
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发表时间：
2004-06
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影响因子：
--
通讯作者：
Takao Asano
中科院分区：
文献类型：
--
作者：
Takao Asano
我们考虑个人的投资组合选择问题。引入模糊性的概念，我们证明了存在的投资组合惯性的假设下，决策者的信念被捕获的内部措施，和她的偏好表示的Choquet积分的内部措施。在模糊性的概念下，人们认为[sigma]-代数不一定是决策者分配概率的事件的适当集合。在此基础上，通过考虑投资者的行为，研究了模糊性与不确定性的区别。
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.