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Portfolio inertia under ambiguity

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  • Asano, Takao
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    Bibliographic Info

    Article provided by Elsevier in its journal Mathematical Social Sciences.

    Volume (Year): 52 (2006)
    Issue (Month): 3 (December)
    Pages: 223-232

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    Handle: RePEc:eee:matsoc:v:52:y:2006:i:3:p:223-232

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    Web page: http://www.elsevier.com/locate/inca/505565

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Jiankang Zhang, 1999. "Subjective Ambiguity, Expected Utility and Choquet Expected Utility," Carleton Economic Papers 99-19, Carleton University, Department of Economics, revised Aug 2002.
    2. Kin Chung Lo, 1995. "Extensive Form Games with Uncertainty Averse Players," Working Papers ecpap-95-03, University of Toronto, Department of Economics.
    3. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    4. Marinacci, Massimo, 2000. "Ambiguous Games," Games and Economic Behavior, Elsevier, vol. 31(2), pages 191-219, May.
    5. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    6. Lo, Kin Chung, 1996. "Equilibrium in Beliefs under Uncertainty," Journal of Economic Theory, Elsevier, vol. 71(2), pages 443-484, November.
    7. Epstein Larry G. & Wang Tan, 1995. "Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes," Journal of Economic Theory, Elsevier, vol. 67(1), pages 40-82, October.
    8. Kin Chung Lo, 1998. "Sealed bid auctions with uncertainty averse bidders," Economic Theory, Springer, vol. 12(1), pages 1-20.
    9. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
    10. Epstein, Larry G, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Wiley Blackwell, vol. 66(3), pages 579-608, July.
    11. 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.
    12. Larry G. Epstein & Jiankang Zhang, 1999. "Subjective Probabilities on Subjectively Unambiguous Events," Carleton Economic Papers 99-18, Carleton University, Department of Economics.
    13. Dow James & Werlang Sergio Ribeiro Da Costa, 1994. "Nash Equilibrium under Knightian Uncertainty: Breaking Down Backward Induction," Journal of Economic Theory, Elsevier, vol. 64(2), pages 305-324, December.
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    Cited by:
    1. 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.
    2. Alain Chateauneuf & Caroline Ventura, 2008. "The no-trade interval of Dow and Werlang : some clarifications," Documents de travail du Centre d'Economie de la Sorbonne b08065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. repec:hal:journl:halshs-00341174 is not listed on IDEAS
    4. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer, vol. 48(2), pages 243-273, October.
    5. Takanori Adachi & Takao Asano, 2011. "Entrepreneurial Choice and Knightian Uncertainty with Borrowing Constraints," KIER Working Papers 803, Kyoto University, Institute of Economic Research.
    6. Takao Asano & Hiroyuki Kojima, 2013. "An Axiomatization of Choquet Expected Utility with Cominimum Independence," KIER Working Papers 878, Kyoto University, Institute of Economic Research.
    7. repec:hal:journl:halshs-00442861 is not listed on IDEAS
    8. Takao Asano, 2010. "Portfolio Inertia and Epsilon-Contaminations," Theory and Decision, Springer, vol. 68(3), pages 341-365, March.

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