Basili M., Fontini F. (2002)

Ambiguity and portfolio inertia. International Journal of Theoretical and Applied Finance5(08), 785-795.

 

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.