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Ambiguity And Portfolio Inertia

Author

Listed:
  • MARCELLO BASILI

    (Department of Economics, University of Siena, P.zza San Francesco 7, I-53100, Siena, Italy)

  • FULVIO FONTINI

    (Department of Economic Science, University of Florence, Via Curtatone 1, I-50123, Florence, Italy)

Abstract

In this paper the Portfolio Choice problem is studied under ambiguity, formalized by means of the Choquet Expected Utility. Agents are supposed to be Choquet Expected Utility maximizers and are split into two categories: optimists, who hold a concave capacity, and pessimists, who hold a convex one. Portfolio inertia is defined and analyzed. Necessary and sufficient conditions are established between a specific structure of agents' beliefs, namely belief commonality, and Portfolio Inertia.

Suggested Citation

  • Marcello Basili & Fulvio Fontini, 2002. "Ambiguity And Portfolio Inertia," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 785-795.
    • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:08:n:s0219024902001699
    DOI: 10.1142/S0219024902001699
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    Citations

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    Cited by:

    1. 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.
    2. Marcello Basili, 2008. "The global strategy to cope with H5N1: the property rights caveat," Department of Economic Policy, Finance and Development (DEPFID) University of Siena 0908, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.

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