Gains from diversification: a regret theory approach

Martín Egozcue ()
Additional contact information
Martín Egozcue: Universidad de la República

Economics Bulletin, 2012, vol. 32, issue 1, 204-219

Abstract: In this paper we analyze a regret-averse individual best choice in a two risky assets portfolio. We extend previous literature and contribute new results by considering a model with two assets. We get the conditions for the regret-averse investor to diversify the portfolio. We additionally compare the behavior of the regret-averse investor with the behavior of its risk-averse counterpart. We characterize the conditions under which both types of agents behavior coincide.

Keywords: optimization; diversification; regret theory; quadrant dependent. (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2012-01-13
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I1-P19.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-11-00635

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().