Since 2014
Subadditive Probabilities and Portfolio Inertia
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Subadditive Probabilities and Portfolio Inertia
Subadditive Probabilities and Portfolio Inertia |
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| Creator |
Simonsen, Mario Henrique; Professor at EPGE/FGV.
Werlang, Sérgio Ribeiro da Costa; Professor at EPGE/FGV. |
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| Subject |
—
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| Description |
We show that in the presence of uncertainty (in the sense of Knight), as axiomatized by Schmeidler (1982, 1984) and Gilboa (1987) (as opposed to the classical view of Savage (1954)) one may obtain portfolio inertia with positive quantities held of all assets. We also present a comprehensive survey of the recent literature on uncertainty, with special emphasis on the subadditive probabilities model.
Mostra-se que com preferências pela incerteza (no sentido de Knight) dadas pela axiomatização de Schmeidler (1982, 1984) e Gilboa (1987) (e não pela de Savage (1954)) pode-se obter inércia na escolha ótima de carteira com quantidades positivas de todos os ativos. O artigo também apresenta uma resenha unificada da literatura recente sobre a incerteza, com especial ênfase no modelo de probabilidades subaditivas. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
1991-04-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3007
10.12660/bre.v11n11991.3007 |
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| Source |
Brazilian Review of Econometrics; Vol 11, No 1 (1991); 1-19
Brazilian Review of Econometrics; Vol 11, No 1 (1991); 1-19 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3007/1902
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