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Ellsberg’s two-color experiment, portfolio inertia and ambiguity.

Abstract:

Results in this paper relate the observation of an interval of prices at which a decision maker (DM) strictly prefers to hold a zero position on an asset (termed “portfolio inertia”) to the DM’s perception of the underlying payoff relevant events as ambiguous, as the term is defined in [Econometrica 69 (2001) 265]. The connection between portfolio inertia and ambiguity is established without invoking a parametric preference form, such as the Choquet expected utility or the max–min multiple pr...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1016/S0304-4068(03)00009-0

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Institution:
University of Oxford
Jean-Marc Tallon More by this author
Publisher:
Elsevier Science B.V. Publisher's website
Journal:
Journal of Mathematical Economics Journal website
Volume:
39
Issue:
3-4
Publication date:
2003
DOI:
URN:
uuid:176c2dcb-3feb-41f4-a989-d8417774935f
Local pid:
oai:economics.ouls.ox.ac.uk:13121
Language:
English

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