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...Expand abstract
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- Peer reviewed
- Accepted Manuscript
- Copyright holder:
- Elsevier Science B.V.
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- © 2003 Elsevier Science B.V. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Mathematical Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Mathematical Economics, 39, 3–4, (June 2003) DOI#10.1016/S0304-4068(03)00009-0
Ellsberg’s two-color experiment, portfolio inertia and ambiguity.
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