Subadditive probabilities and portfolio inertia
Data
1991-04-01
Autores
Simonsen, Mario Henrique
Werlang, Sérgio Ribeiro da Costa
Orientador(res)
Métricas
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Resumo
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.