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Portfolio inertia under ambiguity

  • Asano, Takao
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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-4896(06)00059-X
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505565

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    1. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
    2. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
    3. Marinacci, Massimo, 2000. "Ambiguous Games," Games and Economic Behavior, Elsevier, vol. 31(2), pages 191-219, May.
    4. Dow, James & Werlang, Sérgio Ribeiro da Costa, 1992. "Nash equilibrium under knightian uncertainty: breaking-down backward induction," Economics Working Papers (Ensaios Economicos da EPGE) 186, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    5. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
    6. Kin Chung Lo, 1995. "Extensive Form Games with Uncertainty Averse Players," Working Papers ecpap-95-03, University of Toronto, Department of Economics.
    7. Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 159-181.
    8. Lo, Kin Chung, 1996. "Equilibrium in Beliefs under Uncertainty," Journal of Economic Theory, Elsevier, vol. 71(2), pages 443-484, November.
    9. 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.
    10. Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 579-608.
    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. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    13. Kin Chung Lo, 1998. "Sealed bid auctions with uncertainty averse bidders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(1), pages 1-20.
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