Portfolio Inertia and Epsilon-Contaminations
Author
Abstract
Suggested Citation
DOI: 10.1007/s11238-008-9101-7
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
- Gilboa Itzhak & Schmeidler David, 1993.
"Updating Ambiguous Beliefs,"
Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
- Itzhak Gilboa & David Schmeidler, 1991. "Updating Ambiguous Beliefs," Discussion Papers 924, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Itzhak Gilboa & David Scheidler, 1993. "Updating Ambiguous Beliefs," Post-Print hal-00753150, HAL.
- Lo, Kin Chung, 1999.
"Extensive Form Games with Uncertainty Averse Players,"
Games and Economic Behavior, Elsevier, vol. 28(2), pages 256-270, August.
- Kin Chung Lo, 1995. "Extensive Form Games with Uncertainty Averse Players," Working Papers ecpap-95-03, University of Toronto, Department of Economics.
- Gilboa, Itzhak, 1987.
"Expected utility with purely subjective non-additive probabilities,"
Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
- Gilboa, Itzhak, 1985. "Expected Utility with Purely Subjective Non-Additive Probabilities," Foerder Institute for Economic Research Working Papers 275389, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa, 1987. "Expected Utility with Purely Subjective Non-Additive Probabilities," Post-Print hal-00756291, HAL.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
- Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
- Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Casadesus-Masanell, Ramon & Klibanoff, Peter & Ozdenoren, Emre, 2000. "Maxmin Expected Utility over Savage Acts with a Set of Priors," Journal of Economic Theory, Elsevier, vol. 92(1), pages 35-65, May.
- Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(3), pages 579-608.
- Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, vol. 60(1), pages 197-204, January.
- Ramon Casadesus-Masanell & Peter Klibanoff & Emre Ozdenoren, 1998. "Maximum Expected Utility over Savage Acts with a Set of Priors," Discussion Papers 1218, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2002. "Economics of Self-Feeding Fear," CIRJE F-Series CIRJE-F-175, CIRJE, Faculty of Economics, University of Tokyo.
- Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Huang Shunwu & Chang Wang & Zheng Lan, 2015. "Earnings Surprise, Portfolio Inertia and Stock Price Volatility," Journal of Systems Science and Information, De Gruyter, vol. 3(4), pages 301-320, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Takao Asano, 2004. "Portfolio Inertia and [Epsilon]-Contaminations," ISER Discussion Paper 0610, Institute of Social and Economic Research, Osaka University.
- Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
- Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Schnedler, Wendelin & Dominiak, Adam, 2008.
"Uncertainty Aversion and Preference for Randomization,"
Sonderforschungsbereich 504 Publications
08-39, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Schnedler, Wendelin & Dominiak, Adam, 2008. "Uncertainty aversion and preference for randomization," Papers 08-39, Sonderforschungsbreich 504.
- David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005.
"Exotic Preferences for Macroeconomists,"
NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414,
National Bureau of Economic Research, Inc.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
- Yehuda Izhakian & Zur Izhakian, 2015. "Decision making in phantom spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(1), pages 59-98, January.
- Luciano Castro & Alain Chateauneuf, 2011.
"Ambiguity aversion and trade,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 243-273, October.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," PSE-Ecole d'économie de Paris (Postprint) hal-00685408, HAL.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Post-Print hal-00685408, HAL.
- Alain Chateauneuf & Luciano I. de Castro, 2011. "Ambiguity Aversion and Trade," Discussion Papers 1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685408, HAL.
- Eisei Ohtaki & Hiroyuki Ozaki, 2015.
"Monetary equilibria and Knightian uncertainty,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 435-459, August.
- Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-032, Keio/Kyoto Joint Global COE Program.
- Eisei Ohtaki, 2016. "Optimality of the Friedman rule under ambiguity," Working Papers e103, Tokyo Center for Economic Research.
- Zimper, Alexander, 2009.
"Half empty, half full and why we can agree to disagree forever,"
Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 283-299, August.
- Alexander Zimper, 2007. "Half empty, half full and why we can agree to disagree forever," Working Papers 058, Economic Research Southern Africa.
- André Lapied & Pascal Tocquebeuf, 2007.
"Consistent Dynamice Choice And Non-Expected Utility Preferences,"
Working Papers
halshs-00353880, HAL.
- André Lapied & Pascal Toquebeuf, 2009. "Consistent dynamic choice and non-expected utility preferences," Working Papers hal-00416214, HAL.
- Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
- Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
- Eisei Ohtaki, 2023.
"Optimality in an OLG model with nonsmooth preferences,"
International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 611-659, September.
- Eisei Ohtaki, 2020. "Optimality in an OLG model with nonsmooth preferences," Working Papers e145, Tokyo Center for Economic Research.
- Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
- Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
- Alexander Ludwig & Alexander Zimper, 2013.
"A decision-theoretic model of asset-price underreaction and overreaction to dividend news,"
Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
- Alexander Ludwig & Alexander Zimper, 2012. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers 201223, University of Pretoria, Department of Economics.
- Alexander Ludwig & Alexander Zimper, 2012. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers 296, Economic Research Southern Africa.
- Sujoy Mukerji & Jean-Marc Tallon & EUREQua & CNRS - Universite Paris I., 2003.
"An overview of economic applications of David Schmeidler`s models of decision making under uncertainty,"
Economics Series Working Papers
165, University of Oxford, Department of Economics.
- Sujoy Mukerji & Jean-Marc Tallon, 2004. "An overview of economic applications of David Schmeidler's models of decision making under uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00502534, HAL.
- Sujoy Mukerji & Jean-Marc Tallon, 2004. "An overview of economic applications of David Schmeidler's models of decision making under uncertainty," Post-Print halshs-00502534, HAL.
- Alexander Zimper, 2011.
"Do Bayesians Learn Their Way Out of Ambiguity?,"
Decision Analysis, INFORMS, vol. 8(4), pages 269-285, December.
- Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
- Mayumi Horie, 2007. "A General Update Rule for Convex Capacities," KIER Working Papers 644, Kyoto University, Institute of Economic Research.
More about this item
Keywords
portfolio selection problem; portfolio inertia; Knightian uncertainty; ε-contaminations; D81; G11;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:theord:v:68:y:2010:i:3:p:341-365. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.